• PRU 5.4 PRU 5.4 Interest Rate Risk Capital Requirement

    • PRU 5.4.1

      An Authorised Person 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 Regulator for this purpose; or
      (b) by applying the Rules set out in Section A5.2.