BIPRU 14.2 deals with the calculation of the capital requirement for CCR for trading book positions arising from financial derivative instruments, securities financing transactions and long settlement transactions. The approaches used to calculate exposure values and risk weighted exposure amounts for these positions are largely based on the approaches applicable to non-trading book positions (BIPRU 3, BIPRU 4, BIPRU 5 and BIPRU 13). However, there are some treatments that are specific to the trading book. These are set out in BIPRU 14.2.
The calculation of the capital requirement for CCR for trading book positions is the first element of the counterparty risk capital component in BIPRU 14.2.1 R. The second element of the counterparty risk capital component is for unsettled transactions in both the trading book and the non-trading book. It is calculated under BIPRU 14.3.
Status: You are viewing the version of the handbook as on 2009-03-31.