BIPRU 13 Annex 1
Interest rate risk hedging sets |
FX risk hedging sets |
Equity risk |
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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 |
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1 |
USD |
IR swap |
payer leg |
80 |
-0.25 |
-20 |
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2 |
USD |
IR swap |
receiver leg |
300 |
0.125 |
37.5 |
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2 |
USD |
IR swap |
payer leg |
300 |
-6 |
2 |
-1800 |
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3 |
EUR |
FX swap |
receiver leg |
100 |
15 |
0 |
1500 |
100 |
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3 |
USD |
FX swap |
payer leg |
100 |
-0.125 |
-12.5 |
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4 |
EUR |
cross ccy swap |
receiver leg |
60 |
7 |
1 |
420 |
60 |
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4 |
JPY |
cross ccy swap |
payer leg |
60 |
-7 |
-420 |
-60 |
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5 |
DAX |
Total return swap in EUR |
receiver leg |
150 |
0.125 |
4 |
18.75 |
150 |
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5 |
DAX |
Total return swap in EUR |
payer leg |
150 |
not applicable |
-150 |
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Sum of risk positions RPTij by hedging setj |
5 |
-1160 |
18.75 |
1920 |
-420 |
310 |
-60 |
-150 |
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Absolute amount |sum of RPTij| of risk positions by hedging setj |
5 |
1160 |
18.75 |
1920 |
420 |
310 |
60 |
150 |
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Credit conversion factors CCFj by hedging setj |
0.20% |
0.20% |
0.20% |
0.20% |
0.20% |
2.50% |
2.50% |
7% |
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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 |