Skip to main content
adgm.com

ADGM LEGAL FRAMEWORK

  • ABU DHABI GLOBAL MARKET
    • FEDERAL LAW NO (8) OF 2004
    • FEDERAL DECREE NO (15) OF 2013
    • CABINET RESOLUTION NO (4) OF 2013
    • CABINET RESOLUTION NO. 28 OF 2007
    • ABU DHABI LAW NO. (4) OF 2013
    • ABU DHABI LAW NO. (12) OF 2020
    • ADGM LEGAL FRAMEWORK
      • COMMERCIAL LEGISLATION
      • FSRA LEGISLATION
        • Regulations
        • Rules
          • Anti-Money Laundering and Sanctions Rules and Guidance (AML) [VER06.310321]
          • Captive Insurance Business Rules (CIB) [VER04.030220]
          • Conduct of Business Rulebook (COBS) [VER11.080222]
          • Fees Rules (FEES) [VER13.270422]
          • Fund Passporting Rules (FP) [VER01.110319]
          • Fund Rules (FUNDS) [VER06.250521]
          • General Rulebook (GEN) [VER05.030220]
          • Glossary (GLO) [VER13.270422]
          • Islamic Finance Rules (IFR) [VER04.030220]
          • Market Infrastructure Rulebook (MIR) [VER05.240220]
          • Market Rules (MKT) [VER04.080222]
          • Prudential — Insurance Business (PIN) [VER04.270422]
          • Prudential — Investment, Insurance Intermediation and Banking Rules (PRU) [VER11.270422]
            • PRU 1 APPLICATION, INTERPRETATION AND CATEGORISATION
            • PRU 2 GENERAL REQUIREMENTS
            • PRU 3 CAPITAL AND LEVERAGE
            • PRU 4 CREDIT RISK
            • PRU 5 MARKET RISK
            • PRU 6 OPERATIONAL RISK
            • PRU 7 INTEREST RATE RISK IN THE NON-TRADING BOOK
            • PRU 8 GROUP RISK
            • PRU 9 LIQUIDITY RISK
            • PRU 10 SUPERVISORY REVIEW AND EVALUATION PROCESSES
            • PRU 11 DISCLOSURE REQUIREMENTS
            • PRU APP1 CATEGORIES OF AUTHORISED PERSONS
            • PRU APP2 GENERAL REQUIREMENTS
            • PRU APP3 CAPITAL
            • PRU APP4 CREDIT RISK
            • PRU APP5 CREDIT VALUATION ADJUSTMENT (CVA) RISK
            • PRU APP6 MARKET RISK
              • PRU A6.1 Market Risk systems and controls
              • PRU A6.2 Interest Rate Risk Capital Requirement
                • Guidance
                • PRU A6.2.1
                • PRU A6.2.2
                • PRU A6.2.3
                • PRU A6.2.4
                • Derivation of notional positions for certain instruments (including interest rate Derivatives)
                • Futures on interest rates and forward rate agreements
                • Futures and forwards on a single debt security
                • Future or forward on a basket of debt Securities
                • Interest rate and currency swaps
                • Dual currency bonds
                • Cash legs of repos
                • Cash legs of reverse repos
                • Specific Risk
                  • Guidance
                  • PRU A6.2.13
                  • PRU A6.2.14
                • General Market Risk
                • Simplified Framework
                • Maturity Method
                • Duration Method
              • PRU A6.3 Equity Risk Capital Requirement
              • PRU A6.4 Foreign Exchange Risk Capital Requirement
              • PRU A6.5 Commodities Risk Capital Requirement
              • PRU A6.6 Option Risk Capital Requirement
              • PRU A6.7 Collective Investment Fund Risk Capital Requirement
              • PRU A6.8 Securities Underwriting Risk Capital Requirement
              • PRU A6.9 Use of internal models for Market Risk
            • PRU APP7 CALCULATING THE OPERATIONAL RISK CAPITAL REQUIREMENT
            • PRU APP8 NOT USED
            • PRU APP9 NOT USED
            • PRU APP10 LIQUIDITY
            • PRU APP11 SUPERVISORY REVIEW AND EVALUATION PROCESSES
            • PRU APP12 PUBLIC DISCLOSURE REQUIREMENTS
          • Rules of Market Conduct [VER02.210218]
          • Past Versions
        • Waivers and Modifications
      • ADGM COURTS LEGISLATION
      • ARBITRATION LEGISLATION
    • ADGM COURTS PROCEDURES
    • GUIDANCE & POLICY STATEMENTS
    • PUBLIC CONSULTATION PAPERS
    • NOTICES OF PUBLICATION
Custom print Search

Breadcrumb

  1. ABU DHABI GLOBAL MARKET
  2. ADGM LEGAL FRAMEWORK
  3. FSRA LEGISLATION
  4. Rules
  5. Prudential — Investment, Insurance Intermediation and Banking Rules (PRU) [VER11.270422]
  6. PRU APP6 MARKET RISK
  7. PRU A6.2 Interest Rate Risk Capital Requirement
  8. Specific Risk
View Current PDF
  Versions

 
  • Oct 21 2015 - Oct 20 2015
  • Oct 21 2015
‹ Guidance Guidance ›

Specific Risk

  • Guidance
  • PRU A6.2.13
    • Guidance
  • PRU A6.2.14
‹ Guidance Guidance ›
logo logo
  • About ADGM
  • Legal Framework
  • Public Registers
  • FAQs
  • Lifestyle
  • Media
  • Careers
  • Contact us

Follow us

linkedin twitter Instagram YouTube
  • Terms and Conditions
  • Privacy
  • Site map

© 2019 Abu Dhabi Global Market. All rights Reserved. Abu Dhabi Global Market has been established in accordance with the Federal Decree No. (15) of 2013 Establishment of Financial Free Zone in the Emirate of Abu Dhabi