PRU A4.6.31
The Authorised Person must include the following supervisory delta adjustments in the calculation of the relevant add-on where relevant.
δi | Long in the primary risk factor |
Short in the primary risk factor |
Instruments that are not options or CDO tranches |
+1 | -1 |
δi | Bought | Sold |
Call options | ||
Put options | ||
With the following parameters:
Pi = underlying price (spot, forward, average etc.) Ki = strike price Ti = latest contractual exercise date of the option The supervisory volatility σi of an option is specified on the basis of the supervisory factor applicable to the trade in accordance with the table set out in A4.6.34. |
δi | Purchased (long protection) | Sold (short protection) |
CDO tranches | ||
With the following parameters:
Ai = attachment point of the CDO tranche Di = detachment point of the CDO tranche |