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(DeltaPlusMethod) |
This dimension categorises information reported based on the market risk measurement method used to calculate capital charge for capital adequacy purposes, as determined in accordance with relevant prudential standards. The information reported has been determined using the delta-plus approach to measuring market risk, in accordance with relevant prudential standards.The delta-plus method uses the sensitivity parameters associated with options to measure their market risk capital requirements. Under this method, the delta-equivalent position of each option becomes part of the standard methodology, with the delta-equivalent amount subject to the applicable general market risk charges.Entities using this method must first calculate delta-equivalent position of each option by multiplying the market value of the underlying position by the absolute value of the delta calculated on that position.
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(GT6MLTE12M) |
This dimension is used to categorise information reported according to the remaining time in which the interest rates applying to portfolios (e.g. investments, loans, deposits & borrowings) are expected to reprice (i.e. term to next interest rate repricing/change). They do not indicate the residual term of the original maturity of the instrument itself, however the two may coincide (e.g. fixed rate items such as banks bills, term deposits, money market loans). The reported information relates to items that have a term to maturity of greater than 6 months, but less than or equal to 12 months.
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