Related provisions for BIPRU 7.6.32
1 - 6 of 6 items.
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
Cliquets on equities, baskets of equities or equity indices do not attract an interest rate PRR. The table in BIPRU 7.2.4R excludes them from the scope of the interest rate PRR calculation in BIPRU 7.2 and BIPRU 7.3.45R excludes them from the basic interest rate PRR calculation in BIPRU 7.3 (Equity PRR and basic interest rate PRR for equity derivatives).
The values that have been obtained for the delta-equivalent positions of instruments included in the scenario matrix should then be treated in the same way as positions in the underlying. Where the delta obtained relates to interest rate position risk, the delta equivalent positions may be fed into the firm's interest rate pre-processing model to the extent that the positions fall within the scope of interest rate pre-processing models as set out in BIPRU 7.9.7G and provided that