Related provisions for COLL 5.2.23A
Table: proportional implied volatility shifts
This table belongs to BIPRU 7.9.30G
Remaining life of option |
Proportional shift |
|
Interest rates and CIUs |
||
≤ 1 month |
30% |
30% |
> 1 ≤ 3 months |
20% |
20% |
> 3 ≤ 6 months |
15% |
15% |
> 6 ≤ 9 months |
12% |
12% |
> 9 ≤ 12 months |
9% |
9% |
> 1 ≤ 2 years |
6% |
9% |
> 2 ≤ 4 years |
4.5% |
9% |
> 4 years |
3% |
9% |
Table: underlying price/rate shifts
This table belongs to BIPRU 7.9.33G
Underlying asset class |
Shift |
±8% |
|
±8% |
|
±15%, (but a firm may use the percentages applicable under the commodity extended maturity ladder approach if it would qualify under BIPRU 7.4 (Commodity PRR) to use that approach). |
|
Interest rates |
±100bp (but a firm may use the sliding scale of shifts by maturity as applicable to the interest rate duration method). |
±32%, (but a firm may use the percentages applicable to the underlyings if the firm applies one of the CIU look through methods under BIPRU 7.7 (Position risk requirements for collective investment undertakings)). |
Schedule to the Recognition Requirements Regulations, Paragraph 4(2)(g)
2Without prejudice to the generality of sub-paragraph [4(1)], the [UK RIE] must ensure that- |
where the [UK RIE's]facilitiesinclude making provision for the safeguarding and administration of assets belonging to users of thosefacilities, satisfactory arrangements are made for that purpose. |