PRU 5.6.1

An Authorised Person in Category 1, 2, 3A or 5 must, subject to Rule 5.6.2, calculate its Foreign Exchange Risk Capital Requirement in respect of Trading Book and Non-Trading Book foreign exchange positions by:

(a) applying its internal Market Risk model which has been approved by the Regulator for this purpose; or
(b) applying the Rules in Section A5.4.