PRU A2.1.11

(1) An Authorised Person may hedge a Trading Book Exposure, completely or partially, by a non-Financial Instrument that is not listed in A2.1.3. The General Market Risk Exposure associated with the non-Financial Instrument may be incorporated into the calculation of General Market Risk in the Trading Book if:
(a) the specific instrument is used to hedge an Exposure in an Authorised Person's Trading Book;
(b) the hedge position satisfies the Netting rules contained in the relevant Sections of the Market Risk Chapter; and
(c) the hedge position is marked to market or marked to model and is valued regularly on a prudent and consistent basis.
(2) For the purposes of (1), the non-Financial Instrument must be treated as attracting capital charges as if it were a Financial Instrument.