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Risk Weights and Correlations for GIRR
- Under the Sensitivity-based method, each bucket represents an individual
currency exposure to GIRR.
Vertex
Risk Weight
0.25 year
2.4%
0.5 year
2.4%
1 year
2.25%
2 year
1.88%
3 year
1.73%
5 year
1.5%
10 year
1.5%
15 year
1.5%
20 year
1.5%
30 year
1.5%
- For selected currencies, the above risk weights may be divided by the square root of 2 at the discretion of the bank.
Excel
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