Related provisions for BIPRU 7.4.28

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BIPRU 7.2.35RRP
Table: Interest rate risk on other futures, forwards, options and swapsThis table belongs to BIPRU 7.2.34R.InstrumentNotional positionsforeign currencyforward or futurea long position denominated in the currency purchasedanda short position denominated in the currency soldGold forward or futurea long position if the forward or future involves an actual (or notional) sale of goldora short position if the forward or future involves an actual (or notional) purchase of goldEquityforward
BIPRU 7.3.30RRP
Table: simplified equity method position risk adjustmentsThis table belongs to BIPRU 7.3.29RInstrumentPosition risk adjustmentSingle equities16%22Qualifying equity indices2 (see BIPRU 7.3.38R)28%All other equity indices or baskets16%22If 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
BIPRU 7.6.18RRP
Table: Option PRR: methods for different types of optionThis table belongs to BIPRU 7.6.16ROptionDescriptionMethodAmerican optionAn option that may be exercised at any time over an extended period up to its expiry date.Option standard method or option hedging method if appropriateEuropean optionAn option that can only be exercised at expiry.Bermudan optionA cross between an American option and European option. The Bermudan option can only be exercised at specific dates during
BIPRU 7.6.26RRP
Table: Appropriate treatment for equities, debt securities or currencies hedging optionsThis table belongs to BIPRU 7.6.24RHedgePRR calculation for the hedgeLimits (if hedging method is used)Naked positionAn equity (hedging an option or warrant)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
BIPRU 7.6.27RRP
Table: The hedging method of calculating the PRR (equities, debt securities and gold)This table belongs to BIPRU 7.6.24R(1) - (3)PRROption or warrantpositionIn the money by more than the position risk adjustmentIn the money by less than the position risk adjustmentOut of the money or at the moneyLong in security or goldLong putZeroWpXShort callYYZShort in security or goldLong callZeroWcXShort putYYZWhere:Wp means{(position risk adjustment-100%) x The underlying position valued
BIPRU 7.6.28RRP
Table: The hedging method of calculating the PRR (currencies)This table belongs to BIPRU 7.6.24R(4)PRROptionpositionIn the money by more than 8%In the money by less than 8%Out of the money or at the moneyLong calls & long putsZeroWLXShort calls & short putsZeroYXWhere:WL means(1.08% x U)-The market value of the underlying positionU meansThe amount of the underlying currency that the firm will receive if the option is exercised, converted at the strike price into the currency that
BIPRU 7.4.4RRP
Table: Instruments which result in notional positionsThis table belongs to BIPRU 7.4.2R(3)InstrumentSeeForwards, futures, CFDs, synthetic futures and options on a single commodity (unless the firm calculates a PRR on the option under BIPRU 7.6 (Option PRR))BIPRU 7.4.8RA commitment to buy or sell a single commodity at an average of spot prices prevailing over some future periodBIPRU 7.4.10RForwards, futures, CFDs, synthetic futures and options on a commodity index (unless the firm
BIPRU 7.5.5RRP
Table: instruments which result in notional foreign currency positionsThis table belongs to BIPRU 7.5.3R(6).InstrumentsSeeForeign currencyfutures, forwards, synthetic futures and CFDsBIPRU 7.5.11RForeign currencyswapsBIPRU 7.5.13RForeign currency options or warrants (unless the firm calculates a PRR on the option or warrant under BIPRU 7.6 (Option PRR)).BIPRU 7.5.15RGold futures, forwards, synthetic futures and CFDsBIPRU 7.5.16RGold options (unless the firm calculates a PRR on