This table belongs to GENPRU 2.2.5 G
Related provisions for IPRU-INV 9.3.2
Table: Interest rate and foreign currency swaps
This table belongs to BIPRU 7.2.21R
Paying leg (which must be treated as a short position in a zero-specific-risk security) |
Receiving leg (which must be treated as a long position in a zero-specific-risk security) |
|
Receiving fixed and paying floating |
Coupon equals the floating rate and maturity equals the reset date |
Coupon equals the fixed rate of the swap and maturity equals the maturity of the swap |
Paying fixed and receiving floating |
Coupon equals the fixed rate of the swap and maturity equals the maturity of the swap |
Coupon equals the floating rate and maturity equals the reset date |
Paying floating and receiving floating |
Coupon equals the floating rate and maturity equals the reset date |
Coupon equals the floating rate and maturity equals the reset date |
Table: general market risk Position Risk Adjustments
This table belongs to BIPRU 7.2.56R.
Zone |
Maturity band |
||
Coupon of 3% or more |
Coupon of less than 3% |
||
One |
0 ≤ 1 month |
0 ≤ 1 month |
0.00% |
> 1 ≤ 3 months |
> 1 ≤ 3 months |
0.20% |
|
> 3 ≤ 6 months |
> 3 ≤ 6 months |
0.4% |
|
> 6 ≤ 12 months |
> 6 ≤ 12 months |
0.7% |
|
Two |
> 1 ≤ 2 years |
> 1.0 ≤ 1.9 years |
1.25% |
> 2 ≤ 3 years |
> 1.9 ≤ 2.8 years |
1.75% |
|
> 3 ≤ 4 years |
> 2.8 ≤ 3.6 years |
2.25% |
|
Three |
> 4 ≤ 5 years |
> 3.6 ≤ 4.3 years |
2.75% |
> 5 ≤ 7 years |
> 4.3 ≤ 5.7 years |
3.25% |
|
> 7 ≤ 10 years |
> 5.7 ≤ 7.3 years |
3.75% |
|
> 10 ≤ 15 years |
> 7.3 ≤ 9.3 years |
4.5% |
|
> 15 ≤ 20 years |
> 9.3 ≤ 10.6 years |
5.25% |
|
> 20 years |
> 10.6 ≤ 12.0 years |
6.00% |
|
> 12.0 ≤ 20.0 years |
8.00% |
||
> 20 years |
12.50% |
Table: Derived positions
This table belongs to BIPRU 7.6.9R
Underlying |
Option (or warrant) |
Derived position |
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 |
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. |
|
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. |
|
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). |
|
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. |
||
(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 |
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. |