Versions

 

PIB A2.1.11

(1) An Authorised Firm may hedge a Trading BookExposure, completely or partially, by a non-financial instrument that is not listed in A2.1.3. The General Market RiskExposure associated with the non-financial instrument may be incorporated into the calculation of General Market Risk in the Trading Book if:
(a) the specific instrument is used to hedge an Exposure in an Authorised Firm'sTrading Book;
(b) the hedge position satisfies the Netting rules contained in the relevant sections of the Market Risk chapter; and
(c) the hedge position is marked to market or marked to model and is valued regularly on a prudent and consistent basis.
(2) For the purposes of (1), the non-financial instrument must be treated as attracting capital charges as if it were a Financial Instrument.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]