• PRU 5.6 PRU 5.6 Foreign Exchange Risk Capital Requirement

    • PRU 5.6.1

      An Authorised Person in Category 1, 2, 3A or 5 must, subject to Rule 5.6.2, calculate its Foreign Exchange Risk Capital Requirement in respect of Trading Book and Non-Trading Book foreign exchange positions by:

      (a) applying its internal Market Risk model which has been approved by the Regulator for this purpose; or
      (b) applying the Rules in Section A5.4.

    • PRU 5.6.2

      An Authorised Person need not calculate a Foreign Exchange Risk Capital Requirement if:

      (a) its Foreign Currency business, defined as the greater of the sum of its gross long positions and the sum of its gross short positions in all Foreign Currencies, does not exceed 100% of Capital Resources as defined in Chapter 3; and
      (b) its overall net open position as defined in Rule A5.4.4 does not exceed 2% of its Capital Resources as defined in Chapter 3.