PRU A6.2.3

Past version: effective from 21/10/2015 - 20/10/2015
To view other versions open the versions tab on the right

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.