Related provisions for BIPRU 7.3.20

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

This rule applies to a firm that does not include a forward, future, option or swap on an equity, basket of equities or equity index in the calculation of its interest rate PRR calculation under BIPRU 7.2 (Interest rate PRR). However it does not apply to cliquet as defined in BIPRU 7.6.18R (Table: Option PRR: methods for different types of option). A firm must calculate the interest rate PRR for a position being treated under this rule as follows:(1) multiply the market value
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
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