PRU A6.2.5

(1) The interest rate risk measurement must include all interest rate Derivatives and off-balance sheet instruments in the Trading Book that react to changes in interest rates, including forward rate agreements other forward contracts, Futures, interest rate and cross-currency swaps and forward foreign exchange positions.
(2) Derivatives must be converted into positions in the relevant underlying instruments and are subject to Specific and General Market Risk requirements set out in Rules A6.2.13 and A6.2.15. The amounts used in the calculation must be the market values of the principal amount of the underlying instrument or of the notional underlying instrument.
(3) The manner in which an Authorised Person must derive a notional position (in the currency concerned) for certain instruments (including interest rate Derivatives) is set out in Rules A6.2.6 to A6.2.12.