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).