PRU A5.7.2

Past version: effective from 21/10/2015 - 20/10/2015
To view other versions open the versions tab on the right

An Authorised Person must calculate its Collective Investment Fund Risk Capital Requirement by:

(a) identifying all applicable positions in Funds within the scope of the requirement, including notional positions derived from certain instruments;
(b) identifying the positions in Funds which will be subject to the risk Capital Requirements specified under this Section;
(c) converting on a daily basis net positions in every Fund to the Authorised Person's base currency at the prevailing spot foreign exchange rate;
(d) calculating a Collective Investment Fund Risk Capital Requirement for each individual position in a Fund; and
(e) summing the resultant Capital Requirements calculated in (d).