Related provisions for BIPRU 7.11.8

1 - 12 of 12 items.

Search Term(s)

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

(1) A firm must calculate the specific risk portion of the interest rate PRR for each debt security by multiplying the market value of the individual net position (ignoring the sign) by the appropriate position risk adjustment from the table in BIPRU 7.2.44R or as specified by BIPRU 7.2.45R - BIPRU 7.2.48L R or by BIPRU 7.11.13 R - BIPRU 7.11.17 R.33(2) Notional positions in zero-specific-risk securities do not attract specific risk.(3) For the purpose of (1), a firm may cap the
3BIPRU 7.2.43 R includes both actual and notional positions. However, notional positions in a zero-specific-risk security do not attract specific risk. For example:(1) interest-rate swaps, foreign-currency swaps, FRAs, interest-rate futures, foreign-currencyforwards, foreign-currencyfutures, and the cash leg of repurchase agreements and reverse repurchase agreements create notional positions which will not attract specific risk; while(2) futures, forwards and swaps which are based
Table: Appropriate position risk adjustmentThis table belongs to BIPRU 7.6.7RUnderlying positionAppropriate position risk adjustmentEquityThe position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method)Interest rateThe 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
Table: Derived positionsThis table belongs to BIPRU 7.6.9RUnderlyingOption (or warrant)Derived positionEquityOption (warrant) on a single equity or option on a future/forward on a single equityA 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 equitiesA notional position in the actual equities underlying the contract valued at the
Table: The hedging method of calculating the PRR (equities, debt securities and gold)This table belongs to BIPRU 7.6.24R(1) - (3)PRROption or warrantpositionIn the money by more than the position risk adjustmentIn the money by less than the position risk adjustmentOut of the money or at the moneyLong in security or goldLong putZeroWpXShort callYYZShort in security or goldLong callZeroWcXShort putYYZWhere:Wp means{(position risk adjustment-100%) x The underlying position valued
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
A single name credit linked note creates a long position in the general market risk of the note itself, as an interest rate product. For the purpose of specific risk, a synthetic long position is created in an obligation of the reference entity. An additional long position is created in the issuer of the note. Where the credit linked note has an external rating and meets the conditions for a qualifying debt security, a single long position with the specific risk of the note need
PR App 3.1.1EURP
1The following schedules and building blocks and tables of combinations are copied from the PD Regulation:6[Note: See transitional provisions in Regulation (EU) No 862/2012 and Regulation (EU) No 759/20137]ANNEX IMinimum Disclosure Requirements for the Share Registration Document (schedule)71.PERSONS RESPONSIBLE1.1.All persons responsible for the information given in the Registration Document and, as the case may be, for certain parts of it, with, in the latter case, an indication