PIB A5.2.3

An Authorised Firm must calculate its Interest Rate Risk Capital Requirement in Trading Book positions in all fixed-rate and floating-rate debt Securities and instruments which behave like them, including:

(a) non-convertible preference shares;
(b) futures or forwards on a debt security or on interest rates;
(c) swaps (or contracts for differences) whose value is based on interest rates;
(d) the cash leg of a repurchase or a reverse repurchase agreement;
(e) forward foreign exchange contracts or currency futures;
(f) interest rate legs of equity swaps;
(g) interest rate legs of equity futures or forwards; and
(h) interest rate legs of equity based options treated under internal models in PIB section 5.3.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]