PRU A6.2.15

(1) Subject to (3), an Authorised Person must calculate its General Market Risk on a currency by currency basis, irrespective of where the individual instruments are physically traded or listed. The calculations for each currency must then be added together to determine the amount of the Authorised Person's General Market Risk requirement.
(2) An Authorised Person must calculate its General Market Risk requirement for each currency by applying one of the following approaches to all currencies, including to the single maturity ladder derived from the currencies identified under (3):
(a) the simplified framework set out in Rule A6.2.16;
(b) the Maturity Method set out in Rule A6.2.17; or
(c) with the consent of the Regulator, the Duration Method set out in Rule A6.2.19.