PIB 5.4.1

An Authorised Firm in Category 1 or 2 must calculate its Interest Rate Risk Capital Requirement in respect of Trading Book transactions:

(a) by applying its internal Market Risk model which has been approved by the DFSA for this purpose; or
(b) by applying the Rules set out in PIB section A5.2.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]