Content Options

Content Options

View Options

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.

securities PRR

    45the interest rate PRR, the equity PRR, the option PRR (but only in relation to positions which under BIPRU 7.6.5 R (Table: Appropriate calculation for an option or warrant) may be subject to one of the other PRR charges listed in this definition or which would be subject to such a PRR charge if BIPRU 7.6.5 R did not require an option PRR to be calculated), the CIU PRR and the PRR calculated under BIPRU 7.11 (Credit derivatives in the trading book) and so that:

      1. (a) the securities PRR includes any PRR charge calculated under a CAD 1 permission; and
      1. (b) the securities PRR does not include any PRR charge calculated under a VaR model permission unless the provision in question provides otherwise.