Related provisions for BIPRU 13.5.3

1 - 2 of 2 items.

Search Term(s)

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To

To access the FCA Handbook Archive choose a date between 1 January 2001 and 31 December 2004 (From field only).

BIPRU 13.5.22RRP

This table belongs to BIPRU 13.5.21 R.

Hedging set categories

CCR Multiplier (CCRM)

(1)

Interest Rates

0.2%

(2)

Interest Rates for risk positions from a reference debt instrument that underlies a credit default swap and to which a capital charge of 1.60%, or less, applies under BIPRU 7.2.44 R1.

0.3%

(3)

Interest Rates for risk positions from a debt instrument or reference debt instrument to which a capital charge of more than 1.60% applies under BIPRU 7.2.44 R.

0.6%

(4)

Exchange Rates

2.5%

(5)

Electric power

4.0%

(6)

Gold

5.0%

(7)

Equity

7.0%

(8)

Precious Metals (except gold)

8.5%

(9)

Other commodities (excluding precious metals and electricity power)

10.0%

(10)

Reference debt instruments of an nth to default derivative that have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 32

2

0.3%2

2(11)

Reference debt instruments of an nth to default derivative that do not have a credit assessment from a recognised ECAI equivalent to credit quality step 1 to 3

0.6%

2(12)

Underlying instruments of financial derivative instrument that are not in any of the above categories.

10.0%

[Note: BCD Annex III Part 5 Table 5 and Part 5 point 15 (c)2]