• 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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