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    2021-01-06

general market risk

    68the risk of a price change in an investment:

      1. (a) (in relation to items that may or must be treated under BIPRU 7.2 (Interest Rate PRR)) owing to a change in the level of interest rates; or
      1. (b) (in relation to items that may or must be treated under BIPRU 7.3 (Equity PRR and basic interest rate PRR for equity derivatives) except insofar as BIPRU 7.3 relates to the calculation of the interest rate PRR) owing to a broad equity-market movement unrelated to any specific attributes of individual securities.

    [Note: paragraph 12 of Annex I of the Capital Adequacy Directive]68