Table: Instruments which result in notional positions
This table belongs to BIPRU 7.2.3R(2)
Instrument |
See |
Futures, forwards or synthetic futures on debt securities |
|
Futures, forwards or synthetic futures on debt indices or baskets |
|
Interest rate futures or forward rate agreements (FRAs) |
|
Interest rate swaps or foreign currencyswaps |
|
Deferred start interest rate swaps or foreign currencyswaps |
|
The interest rate leg of an equityswap (unless the firm calculates the interest rate PRR on the instrument using the basic interest rate PRR calculation in BIPRU 7.3 (Equity PRR and basic interest rate PRR for equity derivatives)) |
|
The cash leg of a repurchase agreement or a reverse repurchase agreement |
|
Cash borrowings or deposits |
|
Options on a debt security, a basket of debt securities, a debt security index, an interest rate or an interest rate future or swap (including an option on a future on a debt security) (unless the firm calculates a PRR on the option under BIPRU 7.6 (Option PRR)) |
|
Dual currency bonds |
|
Forwards, futures or options (except cliquets) on an equity, basket of equities or equity index (unless the firm calculates the interest rate PRR on the instrument using the basic interest rate PRR calculation in BIPRU 7.3) |
|
Credit derivatives |
|