Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.


Status: This chapter was amended on 31 December 2020 as a result of Brexit. However, it is subject to the FCA Prudential Transitional Direction, which means that firms should not comply with these provisions yet. Instead, firms must follow this link and continue to comply with pre-IP completion day requirements https://www.handbook.fca.org.uk/handbook?date=31-12-2020&timeline=True (unless specified otherwise in the Direction). To see a full list of Handbook modules affected, please see Section B of the Annex to the Direction.

BIPRU 13 Annex 1

Interest rate risk hedging sets

FX risk hedging sets

Equity risk

i

Trans-action type

Effective notional

Modified duration

CMV

USD non-gov M<1

USD non-gov M>5

EUR non-gov M<1

EUR non-gov M>5

JPY non-gov M>5

EUR/USD

JPY/USD

DAX

$ million

years

$ million

effective notional x modified

effective notional x modified duration

effective notional x modified duration

effective notional x modified duration

effective notional x modified duration

effective notional (+ = long, - = short)

effective notional (+ = long, - = short)

effective notional (+ = long, - = short)

1

USD

IR swap

receiver leg

80

8

-6

640

1

USD

IR swap

payer leg

80

-0.25

-20

2

USD

IR swap

receiver leg

300

0.125

37.5

2

USD

IR swap

payer leg

300

-6

2

-1800

3

EUR

FX swap

receiver leg

100

15

0

1500

100

3

USD

FX swap

payer leg

100

-0.125

-12.5

4

EUR

cross ccy swap

receiver leg

60

7

1

420

60

4

JPY

cross ccy swap

payer leg

60

-7

-420

-60

5

DAX

Total return swap in EUR

receiver leg

150

0.125

4

18.75

150

5

DAX

Total return swap in EUR

payer leg

150

not applicable

-150

Sum of risk positions RPTij by hedging setj

5

-1160

18.75

1920

-420

310

-60

-150

Absolute amount |sum of RPTij| of risk positions by hedging setj

5

1160

18.75

1920

420

310

60

150

Credit conversion factors CCFj by hedging setj

0.20%

0.20%

0.20%

0.20%

0.20%

2.50%

2.50%

7%

CCFj x |sum of RPTij|: CCF-weighted absolute amounts of risk positions by hedging set

0.0100

2.3200

0.0375

3.8400

0.8400

7.7500

1.5000

10.5000

Sum of (CCFj x |sum of RPTij|)

26.7975

CMV: sum of current market values CMVi of the transactions

1.000

Max(CMV, sum of (CCFj x |sum of RPTij))

26.7975

Beta:

1.4000

EAD

37.5165