This is the value, as at the relevant date, of interest rate options, as determined in accordance with relevant prudential standards.An interest rate contract is any contract that transfers the interest rate risk of an underlying asset from one party to another.An option provides the purchasing entity with the right but not the obligation to buy or sell a specific amount of the underlying asset at a pre-agreed price, on or before a specific future date. 

The capital charge on this item is the maximum loss figure obtained from the scenario matrix constructed for each time band in each currency.

Maximum loss is calculated by specifying a fixed range of changes in the option portfolio's risk factors (i.e. underlying price and volatility) and calculating changes in the value of the option portfolio at various points along this matrix. The maximum loss is determined as being the largest loss within the matrix.