Related provisions for IFPRU 6.2.12

BIPRU 7.2.4R01/01/2007

Table: Instruments which result in notional positions

Instrument	See
Futures, forwards or synthetic futures on debt securities	BIPRU 7.2.13 R
Futures, forwards or synthetic futures on debt indices or baskets	BIPRU 7.2.14R
Interest rate futures or forward rate agreements (FRAs)	BIPRU 7.2.18 R
Interest rate swaps or foreign currency swaps	BIPRU 7.2.21R
Deferred start interest rate swaps or foreign currency swaps	BIPRU 7.2.24R
The interest rate leg of an equity swap (unless the firm calculates the interest rate PRR on the instrument using the basic interest rate PRR calculation in BIPRU 7.3 (Equity PRR and basic interest rate PRR for equity derivatives))	BIPRU 7.2.27R
The cash leg of a repurchase agreement or a reverse repurchase agreement	BIPRU 7.2.30R
Cash borrowings or deposits	BIPRU 7.2.31 R
Options on a debt security, a basket of debt securities, a debt security index, an interest rate or an interest rate future or swap (including an option on a future on a debt security) (unless the firm calculates a PRR on the option under BIPRU 7.6 (Option PRR))	BIPRU 7.2.32R
Dual currency bonds	BIPRU 7.2.33R
Foreign currency futures or forwards	BIPRU 7.2.34R
Gold futures or forwards	BIPRU 7.2.34R
Forwards, futures or options (except cliquets) on an equity, basket of equities or equity index (unless the firm calculates the interest rate PRR on the instrument using the basic interest rate PRR calculation in BIPRU 7.3)	BIPRU 7.2.34R
Credit derivatives	BIPRU 7.11
A warrant must be treated in the same way as an option

BIPRU 7.2.35R01/01/2007

Table: Interest rate risk on other futures, forwards, options and swaps

This table belongs to BIPRU 7.2.34R.

Instrument	Notional positions
foreign currency forward or future	a long position denominated in the currency purchased	and	a short position denominated in the currency sold
Gold forward or future	a long position if the forward or future involves an actual (or notional) sale of gold	or	a short position if the forward or future involves an actual (or notional) purchase of gold
Equity forward or future, or option (unless the interest rate PRR is calculated under the basic interest rate PRR calculation in BIPRU 7.3)	A long position if the contract involves an actual (or notional) sale of the underlying equity	or	A short position if the contract involves an actual (or notional) purchase of the underlying equity

BIPRU 7.3.3R01/01/2007

Table: Instruments which result in notional positions

This table belongs to BIPRU 7.3.2R(2)

Instrument		See
Depository receipts		BIPRU 7.3.12R
Convertibles where:	(a) the convertible is trading at a market price of less than 110% of the underlying equity; and the first date at which conversion can take place is less than three months ahead, or the next such date (where the first has passed) is less than a year ahead; or	BIPRU 7.3.13R
Convertibles where:	(b) the conditions in (a) are not met but the firm includes the convertible in its equity PRR calculation rather than including it in its interest rate PRR calculation set out in BIPRU 7.2 (Interest rate PRR).	BIPRU 7.3.13R
Futures, forwards, CFDs and synthetic futures on a single equity		BIPRU 7.3.14R
Futures, forwards, CFDs and synthetic futures on a basket of equities or equity index		BIPRU 7.3.15R
equity legs of an equity swap		BIPRU 7.3.19R
Options or warrants on a single equity, an equity future, a basket of equities or an equity index (unless the firm calculates a PRR on the option or warrant under BIPRU 7.6).		BIPRU 7.3.21R

BIPRU 7.4.4R01/01/2007

Table: Instruments which result in notional positions

This table belongs to BIPRU 7.4.2R(3)

Instrument	See
Forwards, futures, CFDs, synthetic futures and options on a single commodity (unless the firm calculates a PRR on the option under BIPRU 7.6 (Option PRR))	BIPRU 7.4.8R
A commitment to buy or sell a single commodity at an average of spot prices prevailing over some future period	BIPRU 7.4.10R
Forwards, futures, CFDs, synthetic futures and options on a commodity index (unless the firm calculates an PRR on the option under BIPRU 7.6)	BIPRU 7.4.13R - BIPRU 7.4.14R
Commodity swaps	BIPRU 7.4.16R - BIPRU 7.4.17R
A warrant relating to a commodity must be treated as an option on a commodity.

BIPRU 7.4.17R01/01/2007

Table: Treatment of commodity swaps

This table belongs to BIPRU 7.4.16R

	Receiving amounts which are unrelated to any commodity's price	Receiving the price of commodity 'b'
Paying amounts which are unrelated to any commodity's price	N/A	Long positions in commodity 'b'
Paying the price of commodity 'a'	Short positions in commodity 'a'	Short positions in commodity 'a' and long positions in commodity 'b'

BIPRU 13.5.6R31/12/2010

This table belongs to BIPRU 13.5.5 R.

Transaction or instrument	Calculation of size of risk position
Transaction with linear risk profile except for debt instruments.	The effective notional value (market price multiplied by quantity) of the underlying financial instruments (including commodities) converted to the firm's domestic currency.
Debt instruments and payment legs.	The effective notional value of the outstanding gross payments (including the notional amount) converted to the firm's base currency, multiplied by the modified duration of the debt instrument, or payment leg, respectively.
Credit default swap	The notional value of the reference debt instrument multiplied by the remaining maturity of the credit default swap.
2Nth to default credit default swap	The effective notional value of the reference debt instrument, multiplied by the modified duration of the nth to default derivative with respect to a change in the credit spread of the reference debt instrument.
Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a non-linear risk profile, including options and swaptions except in the case of an underlying debt instrument.	Equal to the delta equivalent effective notional value of the financial instrument that underlies the transaction.
Subject to BIPRU 13.5.9 R to BIPRU 13.5.10 R, financial derivative instrument with a non-linear risk profile, including options and swaptions, of which the underlying is a debt instrument or a payment leg.	Equal to the delta equivalent effective notional value of the financial instrument or payment leg multiplied by the modified duration of the debt instrument, or payment leg, respectively.

[Note: BCD Annex III Part 5 points 5 to 9 and 15 (part)2]

BIPRU 13.5.22R31/12/2010

This table belongs to BIPRU 13.5.21 R.

Hedging set categories	CCR Multiplier (CCRM)
(1)	Interest Rates	0.2%
(2)	Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1.60%, or less, applies under BIPRU 7.2.44 R1.	0.3%
(3)	Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1.60% applies under BIPRU 7.2.44 R.	0.6%
(4)	Exchange Rates	2.5%
(5)	Electric power	4.0%
(6)	Gold	5.0%
(7)	Equity	7.0%
(8)	Precious Metals (except gold)	8.5%
(9)	Other commodities (excluding precious metals and electricity power)	10.0%
(10)	Reference debt instruments of an nth to default derivative that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 32 2	0.3%2
2(11)	Reference debt instruments of an nth to default derivative that do not have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3	0.6%
2(12)	Underlying instruments of financial derivative instrument that are not in any of the above categories.	10.0%

[Note: BCD Annex III Part 5 Table 5 and Part 5 point 15 (c)2]

BIPRU 7.6.13R01/01/2007

Table: Derived positions

This table belongs to BIPRU 7.6.9R

Underlying	Option (or warrant)	Derived position
Equity	Option (warrant) on a single equity or option on a future/forward on a single equity	A notional position in the actual equity underlying the contract valued at the current market price of the equity.
	Option (warrant) on a basket of equities or option on a future/forward on a basket of equities	A notional position in the actual equities underlying the contract valued at the current market price of the equities.
	Option (warrant) on an equity index or option on a future/forward on an equity index	A notional position in the index underlying the contract valued at the current market price of the index.
Interest rate	Option on an interest rate or an interest rate future/FRA	A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the sum of the time to expiry of the contract and the length of the period on which the settlement amount of the contract is calculated valued at the notional amount of the contract.
	Option on an interest rate swap	A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the length of the swap valued at the notional principal amount.
	Interest rate cap or floor	A zero coupon zero-specific-risk security in the currency concerned with a maturity equal to the remaining period of the cap or floor valued at the notional amount of the contract.
Debt securities	Option (warrant) on a debt security or option on a future/forward on a debt security	The underlying debt security with a maturity equal to the time to expiry of the option valued as the nominal amount underlying the contract at the current market price of the debt security.
	Option (warrant) on a basket of debt securities or option on a future/forward on a basket of debt securities	A notional position in the actual debt securities underlying the contract valued at the current market price of the debt securities.
	Option (warrant) on an index of debt securities or option on a future/forward on an index of debt securities	A notional position in the index underlying the contract valued at the current market price of the index.
Commodity	Option on a commodity or option on a future/forward on a commodity	An amount equal to the tonnage, barrels or kilos underlying the option with (in the case of a future/forward on a commodity) a maturity equal to the expiry date of the forward or Futures contract underlying the option. In the case of an option on a commodity the maturity of the position falls into Band 1 in the table in BIPRU 7.4.28R (Table: Maturity bands for the maturity ladder approach).
Commodity	Option on a commodity swap	An amount equal to the tonnage, barrels or kilos underlying the option with a maturity equal to the length of the swap valued at the notional principal amount.
CIU (These provisions about CIUs are subject to BIPRU 7.6.35R)	Option (warrant) on a single CIU or option on a future/forward on a single CIU	A notional position in the actual CIU underlying the contract valued at the current market price of the CIU.
	Option (warrant) on a basket of CIUs or option on a future/forward on a basket of CIUs	A notional position in the actual CIUs underlying the contract valued at the current market price of the CIUs.
Gold	Option on gold or option on a future/forward on gold	An amount equal to the troy ounces underlying the option with (in the case of a future/forward on gold) a maturity equal to the expiry date of the forward or futures contract underlying the option.
Currency	Currency option	The amount of the underlying currency that the firm will receive if the option is exercised converted at the spot rate into the currency that the firm will sell if the option is exercised.

BIPRU 7.9.7G01/01/2007

Table: Types of CAD 1 model

This table belongs to BIPRU 7.9.6G

	Options risk aggregation models	Interest rate pre-processing models
Brief description and eligible instruments	Analyse and aggregate options risks for: interest rate options; equity options; foreign currency options; commodity options; and CIU options.	May be used to calculate duration weighted positions for: interest rate futures; forward rate agreements (FRAs); forward commitments to buy or sell debt securities; options, swaps or warrants on interest rates or debt securities and options on such swaps; amortising bonds; equity futures, forwards, warrants and options (but only in relation to the interest rate risk inherent in these products); and foreign currency futures, forwards, swaps and options, but only in relation to the interest rate risk inherent in these products.
The output and how it is used in the PRR calculation	Depending on the type of model and the requirements in the CAD 1 model waiver granted, the outputs from an options risk aggregation model are used as an input to the market risk capital requirement calculation.	Depending on the type of model and the requirements in the CAD 1 model waiver granted, the individual sensitivity figures produced by this type of CAD 1 model are either input into the calculation of interest rate PRR under the interest rate duration method (see BIPRU 7.2.63R) or are converted into notional position and input into the calculation of interest rate PRR under the interest rate maturity method (see BIPRU 7.2.59R).

Options risk aggregation models

Interest rate pre-processing models

Brief description and eligible instruments

Analyse and aggregate options risks for:

May be used to calculate duration weighted positions for:

interest rate futures;
forward rate agreements (FRAs);
forward commitments to buy or sell debt securities;
options, swaps or warrants on interest rates or debt securities and options on such swaps;
amortising bonds;
equity futures, forwards, warrants and options (but only in relation to the interest rate risk inherent in these products); and
foreign currency futures, forwards, swaps and options, but only in relation to the interest rate risk inherent in these products.

The output and how it is used in the PRR calculation

Depending on the type of model and the requirements in the CAD 1 model waiver granted, the outputs from an options risk aggregation model are used as an input to the market risk capital requirement calculation.

Depending on the type of model and the requirements in the CAD 1 model waiver granted, the individual sensitivity figures produced by this type of CAD 1 model are either input into the calculation of interest rate PRR under the interest rate duration method (see BIPRU 7.2.63R) or are converted into notional position and input into the calculation of interest rate PRR under the interest rate maturity method (see BIPRU 7.2.59R).

COLL 6.13.6R01/07/2011

An authorised fund manager of a UCITS scheme or a UK UCITS management company of an EEA UCITS scheme must ensure a high level of security during the electronic data processing referred to in COLL 6.13.5 R as well as the integrity and confidentiality of the recorded information, as appropriate.[Note: article 7(2) of the UCITS implementing Directive]

BIPRU 13.8.8R01/01/2007

A firm may attribute an exposure value of zero for CCR to a securities financing transaction or to any other exposures in respect of that transaction (but excluding an exposure arising from collateral held to mitigate losses in the event of the default of other participants in the central counterparty's arrangements) which is outstanding with a central counterparty and has not been rejected by the central counterparty.[Note: BCD Annex III Part 2 point 6 in respect of SFTs]

Related provisions for IFPRU 6.2.12

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