(1) For the purposes of PIB Rule A5.7.2, an
Authorised Firm 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.
Authorised Firm must also calculate its Collective Investment Fund Risk Capital Requirement for notional positions arising from Trading Book positions in options or warrants on Funds.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]