Related provisions for BIPRU 7.2.28
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Table: Derived positionsThis table belongs to BIPRU 7.6.9RUnderlyingOption (or warrant)Derived positionEquityOption (warrant) on a single equity or option on a future/forward on a single equityA notional position in the actual equity underlying the contract valued at the current market price of the equity.Option (warrant) on a basket of equities or option on a future/forward on a basket of equitiesA notional position in the actual equities underlying the contract valued at the
This table belongs to BIPRU 13.5.21 R.Hedging set categoriesCCR Multiplier (CCRM)(1)Interest Rates0.2%(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 Rates2.5%(5)Electric
Table: Types of CAD 1 modelThis table belongs to BIPRU 7.9.6GOptions risk aggregation modelsInterest rate pre-processing modelsBrief description and eligible instrumentsAnalyse and aggregate options risks for: interest rate options;equityoptions;foreign currencyoptions;commodity options; andCIUoptions.May be used to calculate duration weighted positions for: interest rate futures;forward rate agreements (FRAs);forward commitments to buy or sell debt securities;options, swaps or