Related provisions for BIPRU 7.5.17

1 - 5 of 5 items.

Search Term(s)

Filter by Modules

Filter by Documents

Filter by Keywords

Effective Period

Similar To

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

BIPRU 7.6.3RRP
Except as permitted under BIPRU 7.6.5R, a firm'soption PRR calculation must include:(1) each trading bookposition in an option on an equity, interest rate or debt security;(2) each trading bookposition in a warrant on an equity or debt security;(3) each trading bookposition in a CIU; and(4) each trading book and non-trading bookposition in an option on a commodity, currency or gold.
BIPRU 7.6.5RRP
Table: Appropriate PRR calculation for an option or warrantThis table belongs to BIPRU 7.6.3ROption type (see BIPRU 7.6.18R) or warrantPRR calculationAmerican option, European option, Bermudan option, Asian option or warrant for which the in the money percentage (see BIPRU 7.6.6R) is equal to or greater than the appropriate position risk adjustment (see BIPRU 7.6.7R and BIPRU 7.6.8R)Calculate either an option PRR, or the most appropriate to the underlying position of: an equity
BIPRU 7.6.24RRP
Under the option hedging method a firm must calculate the option PRR for individual positions as follows:(1) for an option or warrant on an equity, basket of equities or equity index and its equity hedge(s), the firm must, to the extent specified or permitted in the table in BIPRU 7.6.26R, use the calculation in the table in BIPRU 7.6.27R;(2) for an option or warrant on a debt security, basket of debt securities or debt security index and its debt security hedge(s), the firm must,
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 7.5.5RRP
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
BIPRU 7.2.4RRP
Table: Instruments which result in notional positionsThis table belongs to BIPRU 7.2.3R(2)InstrumentSeeFutures, forwards or synthetic futures on debt securitiesBIPRU 7.2.13 RFutures, forwards or synthetic futures on debt indices or basketsBIPRU 7.2.14RInterest rate futures or forward rate agreements (FRAs)BIPRU 7.2.18 RInterest rate swaps or foreign currencyswapsBIPRU 7.2.21RDeferred start interest rate swaps or foreign currencyswapsBIPRU 7.2.24RThe interest rate leg of an equityswap
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