(1) For the purposes of PIB Rule A5.3.2(a) an
Authorised Firm must calculate an Equity Risk Capital Requirement for long and short Trading Book positions in equities and instruments which exhibit behaviour similar to equities including but not limited to:
(a) depository receipts;
(b) futures or forwards on an equity, baskets of equities or equity indices;
(c) net underwriting commitments; and
(d) investments in unleveraged
Collective Investment Funds.
Authorised Firm should calculate either an Equity Risk Capital Requirement or an Option Risk Capital Requirement for a Trading Book position in:
(a) an equity hedging an option;
(b) an equity hedging a company-issued warrant;
(c) an option on an equity, basket of equities, equity index or equity future provided it is in the money by at least the risk percentage stipulated in PIB A5.3.31; and
(d) a company issued warrant which relates to an equity, basket of equities or equity index provided it is in the money by at least the risk percentage stipulated in PIB A5.3.31.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]