Related provisions for BIPRU 7.3.42
Table: Assumed interest rate change in the interest rate duration method
This table belongs to BIPRU 7.2.64R
Zone 
Modified Duration 
Assumed interest rate change (percentage points) 
1 
0 ≤ 12 months 
1.00 
2 
> 12 months ≤ 3.6 years 
0.85 
3 
> 3.6 years 
0.70 
Table: Types of CAD 1 model
This table belongs to BIPRU 7.9.6G
Options risk aggregation models 
Interest rate preprocessing models 

Brief description and eligible instruments 
Analyse and aggregate options risks for:

May be used to calculate duration weighted positions for:

The output and how it is used in the PRR calculation 
Depending on the type of model and the requirements in the CAD 1 model waiver granted, the outputs from an options risk aggregation model are used as an input to the market risk capital requirement calculation. 
Depending on the type of model and the requirements in the CAD 1 model waiver granted, the individual sensitivity figures produced by this type of CAD 1 model are either input into the calculation of interest rate PRR under the interest rate duration method (see BIPRU 7.2.63R) or are converted into notional position and input into the calculation of interest rate PRR under the interest rate maturity method (see BIPRU 7.2.59R). 