Prudential Regulation Authority Rulebook

2.1

For the purpose of Article 282(6) of the CRR, a firm must apply the CCR Mark-to-Market method to:

1. (a) transactions with a non-linear risk profile; or
2. (b) payment legs and transactions with debt instruments as underlying

for which it cannot determine the delta or modified duration, as the case may be, using an internal model approved by the PRA under Title IV of the CRR for the purposes of determining own funds requirements for market risk.

2.2

For the purposes of 2.1, a transaction means a transaction to which Chapter Six of the CRR applies.