• PRU A6.3.2 PRU A6.3.2

    An Authorised Person must calculate its Equity Risk Capital Requirement by:

    (a) identifying all applicable positions within the scope of the requirement, including notional positions derived from certain instruments;
    (b) Netting positions where they meet the conditions for Netting set in Rule A6.3.19;
    (c) calculating an Equity Risk Capital Requirement for each individual position using the standard method in accordance with Rule A6.3.23 or the simplified method in accordance with Rule A6.3.31;
    (d) in the case of a forward, Future, Option or company issued Warrant on an equity, basket of equities or equity index, adding an Interest Rate Risk Capital Requirement; and
    (e) summing the Capital Requirements calculated in accordance with (c) and (d).

    • Guidance

      For the purposes of Rule A6.3.2(d), an Authorised Person is required to calculate the applicable Interest Rate Risk Capital Requirement in accordance with Rule A6.2.13 and the other applicable Rules in Section A6.2.