PRU A2.1.6

Positions held with trading intent must comply with the following requirements:

(a) trading intent must be evidenced in the strategies, policies and procedures established by the Authorised Person to manage the position or its portfolio;
(b) there must be clearly defined policies and procedures for active management of the position to ensure the following:
(i) the position is entered and/or managed on a trading desk;
(ii) position limits are set and monitored for appropriateness;
(iii) position-takers at the Authorised Person have autonomy in entering into or changing transactions within pre-determined limits, or the position satisfies other criteria which the Authorised Person applies to the composition of its Trading Book;
(iv) the position is marked-to-market or marked-to-model at least daily on a prudent and consistent basis as part of the Authorised Person's internal risk management processes;
(v) where the position is marked-to-model, the parameters for the model are assessed on a daily basis;
(vi) the position is monitored against the documented trading strategy including the monitoring of turnover and stale positions in the Authorised Person's Trading Book;
(vii) active monitoring of the position is undertaken using market information sources and an assessment made of the marketability or hedge-ability of the position or its component risks, including the assessment of the quality and availability of market inputs to the valuation process, level of markets turnover and sizes of positions traded in the market; and
(viii) positions and exceptions are reported to senior management as an integral part of the risk management process of the Authorised Person.