Related provisions for BIPRU 7.11.6

BIPRU 7.6.8R01/04/2013

Table: Appropriate position risk adjustment

This table belongs to BIPRU 7.6.7R

Underlying position	Appropriate position risk adjustment
Equity	The position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method)
Interest rate	The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU 7.2.57R (General market risk position risk adjustments)) applicable to the underlying position
Debt securities	The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in the table in BIPRU 7.2.57R (General market risk position risk adjustments)) applicable to the underlying position
Commodity	18% (unless BIPRU 7.6.7R requires otherwise)
Currency	8%
Gold	8%
CIU	32% (subject to BIPRU 7.6.6R and BIPRU 7.6.7R)

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 7.11.5R01/01/2007

A credit default swap does not create a position for general market risk. For the purposes of specific risk, a firm must record a synthetic long position in an obligation of the reference entity, unless the derivative is rated externally and meets the conditions for a qualifying debt security, in which case a long position in the derivative is recorded. If premium or interest payments are due under the product, these cash flows must be represented as notional positions in zero-specific-risk

Related provisions for BIPRU 7.11.6

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