Status: You are viewing the version of the handbook as on 2018-12-09.

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.