Related provisions for BIPRU 7.6.25
1 - 2 of 2 items.
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.
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 PRA (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 PRR; oran interest
Table: Types of CAD 1 modelThis table belongs to BIPRU 7.9.6GOptions risk aggregation modelsInterest rate pre-processing modelsBrief description and eligible instrumentsAnalyse and aggregate options risks for: interest rate options;equityoptions;foreign currencyoptions;commodity options; andCIUoptions.May be used to calculate duration weighted positions for: interest rate futures;forward rate agreements (FRAs);forward commitments to buy or sell debt securities;options, swaps or