OpenLegislation

Division 1 The following conversion methods shall be applied to the non-exhaustive list below of standard derivatives:

United Kingdom

Original text. Later amendments are not shown.

  1. (a)

    Futures

    — Bond future

  2. Number of contracts * notional contract size * market price of the cheapest-to-deliver reference bond

    3. — Interest rate future

  3. Number of contracts * notional contract size

    4. — Currency future

  4. Number of contracts * notional contract size

    5. — Equity future

  5. Number of contracts * notional contract size * market price of underlying equity share

    6. — Index futures

  6. Number of contracts * notional contract size * index level

  • (b)

    Plain vanilla options (bought/sold puts and calls)

    — Plain vanilla bond option

  • Notional contract value * market value of underlying reference bond * delta

    • — Plain vanilla equity option

  • Number of contracts * notional contract size* market value of underlying equity share * delta

    • — Plain vanilla interest rate option

  • Notional contract value * delta

    • — Plain vanilla currency option

  • Notional contract value of currency leg(s) * delta

    • — Plain vanilla index options

  • Number of contracts * notional contract size * index level * delta

    • — Plain vanilla options on futures

  • Number of contracts * notional contract size * market value of underlying asset * delta

    • — Plain vanilla swaptions

  • Reference swap commitment conversion amount * delta

    • — Warrants and rights

  • Number of shares/bonds * market value of underlying referenced instrument * delta

  • (c)

    Swaps

    — Plain vanilla fixed/floating rate interest rate and inflation swaps

  • notional contract value

    • — Currency swaps

  • Notional value of currency leg(s)

    • — Cross currency interest rate swaps

  • Notional value of currency leg(s)

    • — Basic total return swap

  • Underlying market value of reference asset(s)

    • — Non-basic total return swap

  • Cumulative underlying market value of both legs of the TRS

    • — Single name credit default swap
  • Protection seller

  • The higher of the market value of the underlying reference asset or the notional value of the Credit Default Swap.

    • Protection buyer

  • Market value of the underlying reference asset

    • — Contract for differences

  • Number of shares/bonds * market value of underlying referenced instrument

  • (d)

    Forwards

    — FX forward

  • notional value of currency leg(s)

    • — Forward rate agreement

  • notional value

  • (e)

    Leveraged exposure to indices with embedded leverage

    A derivative providing leveraged exposure to an underlying index, or indices that embed leveraged exposure to their portfolio, must apply the standard applicable commitment approach to the assets in question.