• PRU A6.2.3 PRU A6.2.3

    An Authorised Person must calculate its Interest Rate Risk Capital Requirement in Trading Book positions in all fixed-rate and floating-rate debt Securities and instruments which behave like them, including:

    (a) non-convertible preference Shares;
    (b) Futures or forwards on a debt security or on interest rates;
    (c) swaps (or contracts for differences) whose value is based on interest rates;
    (d) the cash leg of a repurchase or a reverse repurchase agreement;
    (e) forward foreign exchange contracts or currency Futures;
    (f) interest rate legs of equity swaps;
    (g) interest rate legs of equity Futures or forwards; and
    (h) interest rate legs of equity based Options treated under internal models in Section 5.3.

    • Guidance

      Where these positions will require the derivation of notional positions before they can be included in the calculation of Specific Risk and General Market Risk requirements, an Authorised Person must derive the notional positions in accordance with Rules A6.2.5 to A6.2.12.