8.45. Capital charge—profit rate risk

The Capital charge for profit rate risk in the trading book consists of 2 separately calculated charges:

• (a) a charge for the specific risk of holding a long or short position in an individual instrument; and
• (b) a charge for the general risk of holding a long or short position in the market as a whole.

Guidance

The Capital charge for general risk is for the risk of loss arising from changes in market profit rates.