PRU A6.7.3

(1) For the purposes of Rule A6.7.2, an Authorised Person must calculate its Collective Investment Fund Risk Capital Requirement for all Trading Book positions in Funds, unless they are covered under one of the Fund look through methods and included in the risk Capital Requirement calculations for the relevant underlying Investments or subject to an Option Risk Capital Requirement.
(2) An Authorised Person must also calculate its Collective Investment Fund Risk Capital Requirement for notional positions arising from Trading Book positions in Options or Warrants on Funds.