Related provisions for BIPRU 7.3.22
Table: Instruments which result in notional positions
This table belongs to BIPRU 7.3.15R(2)
Under the simplified equity method (BIPRU 7.3.29R) 
Under the standard equity method (BIPRU 7.3.32R) 

Only one country in the index or basket (see BIPRU 7.3.32R) 
One position in the index or basket 
One position in the index or basket 

More than one country in the index or basket 
One position in the index or basket 
Several notional basket positions, one for each country 
or 
One notional basket position in a separate, notional country 
Table: simplified equity method position risk adjustments
This table belongs to BIPRU 7.3.29R
Instrument 

Single equities 
16%2 2 
Qualifying equity indices2 (see BIPRU 7.3.38R) 2 
8% 
All other equity indices or baskets 
16%2 2 
If it is necessary to distinguish between the specific risk position risk adjustment and the general market risk position risk adjustment, the specific risk position risk adjustment for the first and third rows is 8%2 and that for the second row is 0%. The rest of the position risk adjustment in the second column is the general market risk position risk adjustment 2 
Table: position risk adjustment for specific risk under the standard equity method
This table belongs to BIPRU 7.3.33R1
Instrument 

Qualifying equity indices2 (see BIPRU 7.3.38R) 2 
0% 
All equities, and other2equity indices or equity2 baskets 22 
8%2 2 
Table: Appropriate position risk adjustment
This table belongs to BIPRU 7.6.7R
Underlying position 

The position risk adjustment applicable to the underlying equity or equity index in the table in BIPRU 7.3.30R (Simplified equity method) 

Interest rate 
The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position 
Debt securities 
The sum of the specific risk position risk adjustment (see BIPRU 7.2.43R to BIPRU 7.2.51G (Specific risk calculation)) and the general market risk position risk adjustment (as set out in the table in BIPRU 7.2.57R (General market riskposition risk adjustments)) applicable to the underlying position 
18% (unless BIPRU 7.6.7R requires otherwise) 

Currency 
8% 
Gold 
8% 
32% (subject to BIPRU 7.6.6R and BIPRU 7.6.7R) 
Table: Derived positions
This table belongs to BIPRU 7.6.9R
Underlying 
Option (or warrant) 
Derived position 
Option (warrant) on a single equity or option on a future/forward on a single equity 
A 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 equities 
A notional position in the actual equities underlying the contract valued at the current market price of the equities. 

Option (warrant) on an equity index or option on a future/forward on an equity index 
A notional position in the index underlying the contract valued at the current market price of the index. 

Interest rate 
A zero coupon zerospecificrisk security in the currency concerned with a maturity equal to the sum of the time to expiry of the contract and the length of the period on which the settlement amount of the contract is calculated valued at the notional amount of the contract. 

A zero coupon zerospecificrisk security in the currency concerned with a maturity equal to the length of the swap valued at the notional principal amount. 

Interest rate cap or floor 
A zero coupon zerospecificrisk security in the currency concerned with a maturity equal to the remaining period of the cap or floor valued at the notional amount of the contract. 

Debt securities 
Option (warrant) on a debt security or option on a future/forward on a debt security 
The underlying debt security with a maturity equal to the time to expiry of the option valued as the nominal amount underlying the contract at the current market price of the debt security. 
Option (warrant) on a basket of debt securities or option on a future/forward on a basket of debt securities 
A notional position in the actual debt securities underlying the contract valued at the current market price of the debt securities. 

Option (warrant) on an index of debt securities or option on a future/forward on an index of debt securities 
A notional position in the index underlying the contract valued at the current market price of the index. 

Option on a commodity or option on a future/forward on a commodity 
An amount equal to the tonnage, barrels or kilos underlying the option with (in the case of a future/forward on a commodity) a maturity equal to the expiry date of the forward or Futures contract underlying the option. In the case of an option on a commodity the maturity of the position falls into Band 1 in the table in BIPRU 7.4.28R (Table: Maturity bands for the maturity ladder approach). 

An amount equal to the tonnage, barrels or kilos underlying the option with a maturity equal to the length of the swap valued at the notional principal amount. 

(These provisions about CIUs are subject to BIPRU 7.6.35R) 
Option (warrant) on a single CIU or option on a future/forward on a single CIU 
A notional position in the actual CIU underlying the contract valued at the current market price of the CIU. 
Option (warrant) on a basket of CIUs or option on a future/forward on a basket of CIUs 
A notional position in the actual CIUs underlying the contract valued at the current market price of the CIUs. 

Gold 
An amount equal to the troy ounces underlying the option with (in the case of a future/forward on gold) a maturity equal to the expiry date of the forward or futures contract underlying the option. 

Currency 
Currency option 
The amount of the underlying currency that the firm will receive if the option is exercised converted at the spot rate into the currency that the firm will sell if the option is exercised. 
Table: Appropriate treatment for equities, debt securities or currencies hedging options
This table belongs to BIPRU 7.6.24R
Hedge 
PRR calculation for the hedge 
Limits (if hedging method is used) 
Naked position 
The equity must be treated in either BIPRU 7.3 (equity PRR) or the option hedging method (see the table in BIPRU 7.6.27R) 
The option hedging method must only be used up to the amount of the hedge that matches the notional amount underlying the option or warrant 
To the extent that the amount of the hedge (or option or warrant) exceeds the notional amount underlying the option or warrant (or hedge), a firm must apply an equity PRR, interest rate PRR or foreign currencyPRR (or the option standard method) 

The debt security must be treated in BIPRU 7.2 (interest rate PRR) or the option hedging method (see the table in BIPRU 7.6.27R) 
As for the first row 
As for the first row 

Gold (hedging a gold option) 
The gold must be treated in either BIPRU 7.5 (Foreign currency PRR) or the option hedging method (see the table in BIPRU 7.6.27R) 
As for the first row 
As for the first row 
A currency or currencies (hedging a currency option) 
The currency must be treated in either BIPRU 7.5 (Foreign currency PRR) or the option hedging method (see the table in BIPRU 7.6.28R) 
As for the first row 
As for the first row 
Table: The hedging method of calculating the PRR (equities, debt securities and gold)
This table belongs to BIPRU 7.6.24R(1)  (3)
PRR 

In the money by more than the position risk adjustment 
In the money by less than the position risk adjustment 

Long in security or gold 
Long put 
Zero 
Wp 
X 
Short call 
Y 
Y 
Z 

Short in security or gold 
Long call 
Zero 
Wc 
X 
Short put 
Y 
Y 
Z 

Where: 

Wp means 
{(position risk adjustment100%) x The underlying position valued at strike price} 
+ 
The market value of the underlying position 

Wc means 
{(100% +position risk adjustment x The underlying position valued at strike price} 
 
The market value of the underlying position 

X means 
The market value of the underlying position multiplied by the appropriate position risk adjustment 

Y means 
The market value of the underlying position multiplied by the appropriate position risk adjustment. This result may be reduced by the market value of the option or warrant, subject to a maximum reduction to zero. 

Z means 
The option hedging method is not permitted; the option standard method must be used. 
Table: Interest rate risk on other futures, forwards, options and swaps
This table belongs to BIPRU 7.2.34R.
Instrument 
Notional positions 

a long position denominated in the currency purchased 
and 
a short position denominated in the currency sold 

a long position if the forward or future involves an actual (or notional) sale of gold 
or 
a short position if the forward or future involves an actual (or notional) purchase of gold 

Equityforward or future, or option (unless the interest rate PRR is calculated under the basic interest rate PRR calculation in BIPRU 7.3) 
A long position if the contract involves an actual (or notional) sale of the underlying equity 
or 
A short position if the contract involves an actual (or notional) purchase of the underlying equity 
Table: Net underwriting position reduction factors
This table belongs to BIPRU 7.8.27R
Underwriting timeline 
Debt 
Equity 

Time of initial commitment until working day 0 
0% 
100% 
90% 
0% 
90% 
90% 

0% 
75% 
75% 

0% 
75% 
75% 

0% 
50% 
50% 

0% 
25% 
25% 

Working day 6 and onwards 
0% 
0% 
0% 