Related provisions for BIPRU 7.6.2
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 