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
- General Market Risk
- Simplified Framework
- Maturity Method
- Duration Method