CAPITAL ADEQUACY AND MARKET DISCIPLINE-NEW CAPITAL ADEQUACY FRAMEWORK (NCAF) BASEL II The Basel Capital Accord is an Agreement

concluded among country representatives in 1988 to develop standardised risk-based capital requirements for banks across countries The Accord !as replaced !ith a ne! capital adequacy frame!ork "Basel ##$% published in &une '(() The *evised +rame!ork !as updated in ,ovember '((- follo!ed by a comprehensive version of the frame!ork !as issued in &une '((. Basel ## is based on three mutually reinforcing /illars that allo! banks and supervisors to evaluate properly the various risks that banks face The /illars are0 1inimum capital requirements% !hich seek to refine the present measurement frame!ork ii) 2upervisory revie! of an institution3s capital adequacy and internal assessment process4 iii) 1arket discipline through effective disclosure to encourage safe and sound banking practices
i) i)

Minimum Capita R!"ui#!m!nt (Pi a# I)

The ,e! Capital Adequacy +rame!ork ",CA+$ provides three distinct options each for computing capital requirement for credit risk and operational risk as under0Credit *isk a) 2tandardised Approach b) +oundation #nternal *ating Based Approach c) Advanced #nternal *ating Based Approach 5perational *isk a) Basic #ndicator Approach b) 2tandardised Approach c) Advanced 1easurement Approach All commercial banks "e6cluding 7ocal Area Banks and *egional *ural Banks$ are required to adopt 2tandardised Approach "2A$ for Credit *isk and Basic #ndicator Approach "B#A$ for 5perational *isk for computing capital to *isk 8eighted Assets "C*A*$ so as to fall in line !ith the #nternational standards and reporting to their Boards on quarterly intervals 8ith the upgradation of the risk management frame!ork and likely accrual of capital efficiency thereto envisaged under Basel ## as also the emerging international trend in this regard% it !as considered desirable to lay do!n a timeframe for migration to the advanced approaches for credit risk and operational risk and accordingly a time frame has been dra!n factoring the likely lead time for creating requisite technological and the risk management
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infrastructure etc Banks !ere also advised to migrate to the approach% of course% !ith suitable approval from *B# Capital +unds

Tier # C*A* is computed as under0Tier # C*A* 9 :ligible Tier # capital funds Credit *isk *8A; < 1arket *isk *8A < 5perational *isk *8A

; *8A 9 *isk !eighted Assets

Banks are required to maintain a minimum Total C*A* of 9= on an ongoing basis The *B# !ill take into account the relevant risk factors and the internal capital adequacy assessments of each bank to ensure that the capital held by a bank is commensurate !ith the bank>s overall risk profile Total C*A* is !orked out as under0Total C*A* 9 :ligible total capital funds Credit *isk *8A < 1arket *isk *8A < 5perational *isk *8A

Capital funds are classified into Tier # and Tier ## capital Tier ## capital !ill be reckoned to the e6tent of 1((= of Tier # capital for the purpose of capital funds

Tier # capital #t includes0a. b. c. d. e.

/aid-up equity capital% statutory reserves% and other disclosed free reserves% if any4 Capital reserves representing surplus arising out of sale proceeds of assets4 #nnovative perpetual debt instruments "#/?#$ eligible for inclusion in Tier # capital% /erpetual ,on-Cumulative /reference 2hares "/,C/2$% Any other type of instrument generally notified by *B# from time to time for inclusion in Tier # capital

7imits on eligible Tier # Capital

/reference 2hares "/,C/2$ along !ith #nnovative Tier # instruments shall not e6ceed )( per cent of total Tier # capital at any point of time c. #nnovative instrumentsA/,C/2% in e6cess of the limit shall be eligible for inclusion under Tier ##% subBect to limits prescribed for Tier ## capital Tier ## Capital
a. *evaluation *eserve4 b. Ceneral /rovisions and 7oss *eserves4 2

c. Dybrid debt capital instruments4 d. 2ubordinated debts4 e. #/?# in e6cess of 1-= of Tier # capital and /,C/2 in e6cess of overall ceiling of )(= of f.

Tier # capital4 Any other type of instrument generally notified by the *eserve Bank from time to time for inclusion in Tier ## capital

7imits on eligible Tier ## capital

and other intangible assets but before deduction of investments4 b) 2ubordinated debt instruments are limited to -(= of Tier # capital after all deductions
1. Capita $%a#&! '(# C#!)it Ri*+

Claims on ?omestic 2overeigns "standard Assets$

Central Covt guaranteed claims carry Eero risk !eight b. ?irect 7oansAcreditAoverdraft e6posure% if any% of banks to 2tate Covt and investment in 2tate Covt securities carry Eero risk !eight 2tate Covernment guaranteed claims !ill attract '( per cent risk !eight> c. *isk !eight applicable to Central Covt e6posure !ould also apply to claims on *B#% ?#FCCC and Credit Cuarantee +und Trust for 2mall #ndustries "CCT2#$ and claim on :CCC !ould attract '(= risk !eight d. GAmount *eceivable from C5#> under Agricultural ?ebt 8aiver 2cheme '((8 is to be treated as claim on C5# and attract Eero risk !eight !hereas the amount outstanding in the accounts covered by the ?ebt *elief 2cheme shall be treated as a claim on the borro!er and risk !eighted as per the e6tant norms Claims on +oreign 2overeigns Claims on +oreign 2overeigns in foreign currency !ould be as per the rating assigned as detailed in the *B# circular #n case of claims dominated in domestic currency of +oreign 2overeign met out of the resources in the same currency% the Eero risk !eight !ould be applicable Claims on /ublic 2ector :ntities "/2:$ Claims on domestic /2:s and /rimary ?ealers "/?$ !ould be risk !eighted in the same manner that of corporate and foreign /2:s as per the rating assigned by foreign rating agencies as detailed in the Circular 5ther claims Claims on #1+% Bank for #nternational 2ettlements "B#2$% 1ultilateral ?evelopment Banks "1?Bs$ evaluated by the BCB2 !ill be treated similar to claims on scheduled banks at a uniform '(= risk !eight Claims on Banks incorporated in #ndia and +oreign Banks> branches in #ndia% the applicable risk !eight is detailed in the *B# 1aster Circular
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Claims on corporate Asset +inance Companies "A+Cs$ and ,on-Banking +inance Companies-#nfrastructure +inance Companies ",B+C-#+C$% shall be risk !eighted as per the ratings assigned by the rating agencies registered !ith the 2:B# and accredited by the *B# "?etailed in the Circular$ The claims on non-resident corporate !ill be risk !eighted as per the ratings assigned by international rating agencies *egulatory *etail claims "both fund and non-fund based$ !hich meet the Hualifying criteria% viE

a) O#i!ntati(n C#it!#i(n0 :6posure to individual personAs or to a small business "Average

annual turnover less than *s -( crore for last @ years or proBected turnover in case of ne! units$4 b) P#()u$t C#it!#i(n0 :6posure "both fund-based and non fund-based$ in form of revolving credits and lines of credit "incl overdrafts$% term loans F leases "e g instalment loans and leases% student and educational loans$ and small business facilities and commitments c) ,#anu a#it- C#it!#i(n I 2ufficient diversification to reduce the risk portfolio4 and d) L(. /a u! (' in)i/i)ua !0p(*u#!* - The ma6imum aggregated retail e6posure to one counterpart should not e6ceed the absolute threshold limit of *s - crore W(u ) att#a$t #i*+ .!i&%t (' 123 e6cept ,/As
e) Dome loans to individuals upto *s @( 7akh backed by mortgage on residential property%

the risk !eight !ould be -(=4 and above *s @( 7akh but belo! *s J- 7akh J-= provided the 7oan to Kalue ratio "7TK$ should not be more than J-= based on bank>s approved valuation policy 7TK beyond J-= !ill attract a risk !eight of 1((= f) The risk !eight for residential housing loans of *s J- 7akh and above irrespective of the 7TK ratio !ill be 1'-= and restructured accounts at '-= g) Commercial real estate e6posure% the risk !eight is to be taken at 1((= ,on-performing Assets ",/As$ The risk !eight in respect of the unsecured portion of ,/A "other than a qualifying residential mortgage loan$% net of specific provisions "including partial !rite-offs$% shall be02pecific /rovisions *isk 8eight = 7ess than '(= of outstanding 1-( At least '(= of outstanding 1(( At least -(= of outstanding -(

The risk !eight applicable for secured ,/A is 1((=% net of provisions !hen provisions reach 1-= of the outstanding amount ,/A Dome 7oan claims secured by residential property% the risk !eight shall be 1((= net of specific provisions #n case the specific provisions are at least '(= but less than -(= of the outstanding% the risk !eight shall be J-= "net of specific provisions$ and specific provisions are -(= or more the applicable risk !eight is -(= 5ther specified categories
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(1 ('

(@ () (-

*isk 8eight "=$ Kenture capital 1-( or higher Consumer credit including 1'personal loans% credit card receivables% but e6cl educational loan Capital market e6posure 1'#nvestment in paid up capital of 1',on-financial entities ;#nvestment in paid up capital of 1'financial entities "other than banks$ !here investment is upto @(= of equity of investee entity ;#nvestment e6empted from Gcapital market e6posure> 2taff loans backed fully by superannuation benefits andAor mortgage of flatAhouse 5ther loans and advances to staff eligible for inclusion under retail portfolio All other assets 5ff balance sheet items "1arket related and non-market related items$ 2ecuritiEation :6posure 1(( '( J-

Category

(. (J (8 (9 1(

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1(( As detailed in the *B# Circular As per Cir Based on rating by e6ternal credit agency Commercial real estate "1B2 -dobacked$

E0t!#na C#!)it A**!**m!nt

*B# has identified various credit agencies !hose ratings may be used by banks for the purposes of risk !eighting their claims for capital adequacy purposes as under0-

a. Credit Analysis and *esearch 7imited4 b. C*#2#7 7imited4 c. #ndia *atings F *esearch /vt 7td "#ndia *ating$ d. #C*A 7imited 5

e. Brick!ork *atings #ndia /vt 7td

#nternational Agencies "!here specified$

Banks are required to use the chosen credit rating agencies and their ratings consistently for each type of claim% for both risk !eighting and risk management purposes The ,CA+ recommends development of a mapping process to assign the ratings issued by eligible credit rating agencies to the risk !eights available under the 2tandardised risk !eighting frame!ork Lnder the +rame!ork% ratings have been mapped for appropriate risk !eights applicable as per 2tandardised approach The risk !eight mapping for 7ong Term and 2hort Term *atings are given in the Circular

C#!)it Ri*+ Miti&ati(n T!$%ni"u!*

The credit e6posure is hedged in !hole or part by collaterals by a counterparty "party to !hom a bank has an on-or off balance sheet credit e6posure$ or by a third party on behalf of the counterparty and banks have specific lien over the collaterals Lnder the +rame!ork% banks are allo!ed to adopt either 2imple Approach or Comprehensive Approach The former approach substitutes the risk !eighting of the collateral for the risk !eighting of the counterparty for the collateraised portion of the e6posure and under the latter approach !hich allo!s fuller offset of collaterals against e6posures Comprehensive approach is being adopted by banks in #ndia Cash% Cold% securities% MK/% ,2C "no lock in period$% 7#C policies% ?ebt securities% Lnits of 1utual +unds% etc are eligible financial instruments for recognition in the Comprehensive Approach

b) On Ba an$! S%!!t N!ttin& I

Lnder this technique% banks have legally enforceable netting arrangements involving specific lien !ith proof of documentation Capital requirement is reckoned on the basis of net credit e6posure
c) ,ua#ant!!* I

:6plicit% irrevocable% and unconditional guarantees may be taken as credit protection in calculating capital requirements Cuarantees issued by entities !ith lo!er risk !eight as compared to the counterparty !ill lead to reduced capital charges
2. Capita $%a#&! '(# Ma#+!t Ri*+

1arket *isk relates to risk of losses in on-balance sheet and off-balance sheet positions arising on account of movement in market prices The market risk positions subBect to
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capital charge requirement are risks pertaining to int!#!*t #at! related instruments in trading books and equities and F(#!i&n E0$%an&! #i*+ "including gold and other precious metals$ in both trading and banking books Trading book for the purpose of capital adequacy !ill include0
a. b. c. d. e. f.

2ecurities included under the Deld for Trading "D+T$ category 2ecurities included under the Available for 2ale "A+2$ category 5pen gold position limits 5pen foreign e6change position limits Trading positions in derivatives% and ?erivatives entered into for hedging trading book e6posures Banks are required to manage the market risks in their books on an ongoing basis and ensure that the capital requirements for market risks are being maintained on a continuous basis% i e at the close of each business day Banks are also required to maintain strict risk management systems to monitor and control intra-day e6posures to market risks Capital for market risk !ould not be relevant for securities !hich have already matured and remain unpaid These securities !ill attract capital only for credit risk 5n completion of 9( days delinquency% these !ill be treated on par !ith ,/As for deciding the appropriate risk !eights for credit risk

M!a*u#!m!nt (' $apita $%a#&! '(# Int!#!*t Rat! Ri*+

The capital charge for interest rate related instruments !ould apply to current market value of the instruments in bank>s trading book and banks are required to maintain capital for market risks on an ongoing basis by mark to market their trading positions on a daily basis The minimum capital requirement is measuredA e6pressed in t!o !ays viE "i$ 2pecific *isk charge and "ii$ Ceneral 1arket *isk "dealt separately hereunder$ #n vie! of possible longer holding period and higher risk thereto in respect of debt securities held under A+2 category% banks are required to hold capital charge for market risk equal to or greater of the 2pecific *isk Capital charge or Alternative Total Capital Charge The capital charge for specific risk is designed to protect against an adverse movement in the price of an individual security o!ing to factors related to the individual issuer both short "short position is not allo!ed in #ndia e6cept in derivatives$ and long positions The specific risk charges and Alternative Total Capital Charge for various kinds of e6posures are detailed in Tabular +orm in the *B# Circular

(i) 2pecific 1arket *isk

(ii) Ceneral 1arket *isk

#t relates to charge to!ards interest rate risk in the portfolio% !here long and short position "!hich is not allo!ed in #ndia e6cept in derivatives$ in different securities

or instruments can be offset The capital requirements for general market risk are designed to capture the risk of loss arising from changes in market interest rates Ceneral 1arket *isk is the sum of the follo!ing four components0a. The net short "short position is not allo!ed in #ndia e6cept in derivatives$ or long position

in the !hole trading book4

disallo!anceO$4
c. a larger proportion of the matched positions across different time-bands "the NhoriEontal

disallo!anceO$% and
d. a net charge for positions in options% !here appropriate

T!o broad methodologies for computation of capital charge for market risks are suggested by the Basle Committee viE 2tandardised 1ethod and #nternal *isk 1anagement models method of !hich banks have been advised to adopt 2tandardised 1ethod as banks have not yet developed their #nternal *isk 1anagement system Lnder the standardised method there are t!o principal methods of measuring market risk viE a NmaturityO method and a NdurationO method #t has been decided to adopt standardised NdurationO method as the same is more accurate method to arrive the capital charge The mechanics under the method% Time band and assumed changes in yield are detailed in the Circular for reference

M!a*u#!m!nt '(# $apita $%a#&! '(# E"uit- Ri*+

The capital charge for equities !ould apply on their current market value in bank>s trading book The 1inimum capital requirement% to cover the risk of holding or taking positions in equities in the trading book is detailed in the Circular The instruments covered include equity shares% !hether voting or non-voting% convertible securities that behave like equities% for e6ample0 units of mutual funds% and commitments to buy or sell equity The capital charge for 2pecific *isk and Ceneral 1arket *isk% calculated on bank>s gross equity position% !ould be 9= each and the 2pecific *isk capital charge on the banks investment in 2ecurity *eceipts !ould be 1@ -= "equivalent to 1-(= risk !eight$

M!a*u#!m!nt (' $apita $%a#&! '(# F(#!i&n E0$%an&! Ri*+ The bank>s net open position in each currency shall be calculated by summing0
a) The net spot position "i e all asset items less all liability items% including accrued

interest% denominated in the currency in question$4

b) The net for!ard position "i e all amounts to be received less all amounts to be paid

c) d) e) f)

under for!ard foreign e6change transactions% including currency futures and the principal on currency s!aps not included in the spot position$4 Cuarantees "and similar instruments$ that are certain to be called and are likely to be irrecoverable4 ,et future incomeAe6penses not yet accrued but already fully hedged "at the discretion of the reporting bank$4 ?epending on particular accounting conventions in different countries% any other item representing a profit or loss in foreign currencies4 The net delta-based equivalent of the total book of foreign currency options

The open positions both +oreign e6change and gold are at present risk-!eighted at 1((= and the capital charge for market risks in foreign e6change and gold open position is 9= These open positions% limits or actual !hichever is higher% !ould continue to attract capital charge at 9= This capital charge is in addition to the capital charge for credit risk on the on-balance sheet and off-balance sheet items pertaining to foreign e6change and gold transactions +or calculation of eligible capital for market risk% it !ill be necessary to ascertain the bank>s minimum capital requirement for credit and operational risks so as to arrive the available Tier # and Tier ## capital to support the market risk "#llustrated in the Circular$
3. Capita $%a#&! '(# Op!#ati(na Ri*+

5perational risk is termed as the risk of loss resulting from inadequate or failed internal processes% people and systems or from e6ternal events This includes legal risk% but e6cludes strategic and reputational risk 7egal risk includes% but is not limited to% e6posure to fines% penalties% or punitive damages resulting from supervisory actions% as !ell as private settlements M!a*u#!m!nt M!t%()( (&i!* Three methods for calculating operational risk capital charges in continuum of increasing sophistication and risk sensitivity are provided under ,CA+ viE
i) The Basic #ndicator Approach "B#A$ ii) The 2tandardised Approach "T2A$% and iii) Advanced 1easurement Approach "A1A$

Banks are advised% to begin !ith% to adopt the Basic #ndicator Approach "B#A$ and *B# !ould revie! the capital requirement under B#A for general credibility and in case it is found any la6ity% appropriate 2upervisory action under /illar ' !ill be considered Lnder B#A% banks are required to hold capital for operational risk equal to the average positive annual gross income over the previous @ years #n case the gross income for any year is negative or Eero% the same should be e6cluded !hile calculating the average *B# !ill
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initiate necessary supervisory action under /illar ' in case the negative gross income distorts banks /illar # capital charge
ii) Sup!#/i*(#- R!/i!. an) E/a uati(n P#($!** (SREP) 5 (Pi a# 6)

The obBective of 2upervisory *evie! /rocess "2*/$ is to0a. :nsure that banks have adequate capital to support all the risks in their business4 and b. :ncourage them to develop and use better risk management techniques for

monitoring and managing their risks Mey principles envisaged under the 2*/ are0a) Banks are required to have a process for assessing their overall capital adequacy in

relation to their risk profile and a strategy for maintaining their capital levels

b) :valuation of banks> internal capital adequacy assessments and strategies as !ell as

their ability to monitor and ensure their compliance !ith the regulatory capital ratios by 2upervisors

c) 2upervisors should e6pect banks to operate above the minimum regulatory capital

ratios and should have the ability to require banks to hold capital in e6cess of the minimum d) 2upervisors should intervene at an early stage to prevent capital from falling belo! the minimum levels required to support the risk characteristics of a particular bank and should require rapid remedial action if capital is not maintained or restored

/rinciples a F c relates to the supervisory e6pectations !hile others i e b F d deals !ith the role of the supervisors under /illar ' This necessitates evolvement of an effective Int!#na Capita A)!"ua$- A**!**m!nt P#($!** (ICAAP) for assessing their capital adequacy based on the risk profiles as !ell as strategies for maintaining their capital levels /illar ' also requires the 2upervisory authorities to put in place an evaluation process kno!n as Sup!#/i*(#- R!/i!. an) E/a uati(n P#($!** (SREP) and to initiate supervisory measures as may be necessary This !ould also facilitate *B# to take suitable steps either to reduce e6posure of the bank or augmentArestore its capital #CAA/ is an important component of the 2*/ Based on the principles% responsibilities have been casted on Banks and 2upervisors under 2*:/ and based on !hich banks are e6pected to operate above the minimum regulatory capital ratios commensurate !ith their individual risk profiles% etc Lnder 2*:/% the *B# !ill assess the overall capital adequacy through comprehensive evaluation along !ith Annual +inancial #nspection "A+#$ based relevant data and #CAA/ document being received from banks and available information #CAA/ and 2*:/ are ' important components of /illar '

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:very bank "e6cept 7ABs F **Bs$ should have an #CAA/ both at solo and consolidated levels and the responsibility of designing and implementation of the #CAA/ rests !ith the Board Before embarking on ne! activities or introducing ne! products the senior management should identify and revie! the related risks arising from these potential ne! products or activities and ensure that the infrastructure and internal controls necessary to manage the related risks are in place Banks are required to put in place a effective 1#2 !hich should provide the board and senior management a clear and concise manner !ith timely and relevant information concerning their institutions> risk profile including risk e6posure 1#2 should be capable of capturing limit breaches "concentrations$ and same should be promptly reported to senior management% as !ell as to ensure that appropriate follo!-up actions are taken *isk management process should be frequently monitored and tested by independent control areas and internal and e6ternal auditors The #CAA/ should form an integral part of the management and decision-making culture of a bank The implementation of #CAA/ should be guided by the principle of proportionality and *B# e6pects degree of sophistication in the #CAA/ in regard to risk measurement !hich should commensurate !ith the nature% scope% scale and the degree of comple6ity in the bank>s business operations

5perational aspects of #CAA/

The #CAA/ of banks is e6pected normally to capture the risk universe% viE Credit *isk% 1arket *isk% 5perational *isk% interest rate risk in the banking book% credit concentration risk and liquidity risk 5ther risks include reputational risk and or business or strategic risk% 5ff-balance sheet :6posure and 2ecuritisation *isk etc "Karious risks are briefly outlined in the *B# Circular$ Bank>s risk management process including the #CAA/ should be consistent !ith the e6isting *B# guidelines on these risks #f banks adopt risk mitigation techniques% they should understand the risk to be mitigated and reckoning its enforceability and effectiveness on the risk profile of the bank

2ound 2tress Testing /ractices

2tress testing that alerts bank management to adverse une6pected outcomes related to a broad variety of risks and provides an indication to banks of ho! much capital might be needed to absorb losses should large shocks occur #t is an important tool that is used by banks as part of their internal risk management 1oreover% stress testing supplements other risk management approaches and measures

iii) Ma#+!t Di*$ip in! - "Pi a# 5 7$

1arket ?iscipline is termed as development of a set of disclosure requirements so that the market participants !ould be able to access key pieces of information
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on the scope of application% capital% risk e6posures% risk assessment processes% and in turn the capital adequacy of the institution #t is considered as an effective means of informing the market about a bank>s e6posure to those risks and provides comparability ,on-compliance of the prescribed disclosure requirement attracts penalty including financial penalty

Banks are required provide as at the end of 1arch each year all /illar @ disclosures both quantitative and qualitative along !ith annual financial statements Banks !ith capital funds of *s 1(( crore or more are further required to make interim disclosures on the quantitative aspects on a standalone basis on their !ebsites as at end of 2eptember each year All banks !ith capital funds of *s -(( crore or more are required to disclose their Tier # capital% total capital% total required capital and Tier # ratio and total capital adequacy ratio% on a quarterly basis on their respective !ebsites The disclosure on the !ebsites should be made in a !eb page titled NBasel ## ?isclosuresO and the link to this page should be prominently provided on the home page of the bank>s !ebsite :ach of these disclosures pertaining to a financial year should be available on the !ebsites until disclosure of the third subsequent annual "1arch end$ disclosure is made Banks should evolve a formal disclosure policy duly approved by their respective Boards that addresses the bank>s approach for determining !hat disclosures it !ill make and the internal controls over the disclosure process Lnder the ,CA+% the disclosure !as required to effective from 1arch '((8 or '((9 "e6tended to @1st 1arch '(1($ Banks operating in #ndia are required to make additional disclosures in respect of0-

a. 2ecuritisation e6posures in the trading book4 b. 2ponsorship of off-balance sheet vehicles4 c. Kaluation !ith regard to securitisation e6posures4 and d. /ipeline and !arehousing risks !ith regard to securitisation e6posures

The disclosure requirements under /illar @ section !ise along !ith narrations are outlined in Tabular +orm in the *B# 1aster Circular on ,CA+

?etailed guidelines on issuance of various ?ebt #nstruments viE #nnovative /erpetual ?ebt #nstrument "#/?#$% /erpetual ,on-cumulative /reference 2hares "/,C/2$% ?ebt Capital #nstruments% /erpetual Cumulative /reference 2hares "/C/2$% *edeemable ,on-cumulative /reference 2hares "*,/2$% *edeemable Cumulative /reference 2hares "*C/2$% 2ubordinated ?ebts% Cuidelines on 2ecuritisation of 2tandard Assets% Credit *isk 1itigation I #llustrations% #llustrative Approach on 1easurement of Capital Charge for 1arket *isks in respect of #nterest *ate *isk and ?erivatives% #llustrative Approach on

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1easurement #nterest *ate *isk in Banking Books "#**BB$% etc are given in the 1aster Circular *B# "2ource0 *B# 1 Circular- updated up to @1 1( 1' $

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