Related provisions for BIPRU 7.6.24

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Table: Appropriate treatment for equities, debt securities or currencies hedging options

This table belongs to BIPRU 7.6.24R

Hedge	PRR calculation for the hedge	Limits (if hedging method is used)	Naked position
An equity (hedging an option or warrant)	The equity must be treated in either BIPRU 7.3 (equity PRR) or the option hedging method (see the table in BIPRU 7.6.27R)	The option hedging method must only be used up to the amount of the hedge that matches the notional amount underlying the option or warrant	To the extent that the amount of the hedge (or option or warrant) exceeds the notional amount underlying the option or warrant (or hedge), a firm must apply an equity PRR, interest rate PRR or foreign currency PRR (or the option standard method)
A debt security (hedging an option or warrant)	The debt security must be treated in BIPRU 7.2 (interest rate PRR) or the option hedging method (see the table in BIPRU 7.6.27R)	As for the first row	As for the first row
Gold (hedging a gold option)	The gold must be treated in either BIPRU 7.5 (Foreign currency PRR) or the option hedging method (see the table in BIPRU 7.6.27R)	As for the first row	As for the first row
A currency or currencies (hedging a currency option)	The currency must be treated in either BIPRU 7.5 (Foreign currency PRR) or the option hedging method (see the table in BIPRU 7.6.28R)	As for the first row	As for the first row

Table: The hedging method of calculating the PRR (equities, debt securities and gold)

This table belongs to BIPRU 7.6.24R(1) - (3)

	PRR
	Option or warrant position	In the money by more than the position risk adjustment	In the money by less than the position risk adjustment	Out of the money or at the money
Long in security or gold	Long put	Zero	Wp	X
Long in security or gold	Short call	Y	Y	Z
Short in security or gold	Long call	Zero	Wc	X
Short in security or gold	Short put	Y	Y	Z
Where:
Wp means	{(position risk adjustment-100%) x The underlying position valued at strike price}		+	The market value of the underlying position
Wc means	{(100% +position risk adjustment x The underlying position valued at strike price}		-	The market value of the underlying position
X means	The market value of the underlying position multiplied by the appropriate position risk adjustment
Y means	The market value of the underlying position multiplied by the appropriate position risk adjustment. This result may be reduced by the market value of the option or warrant, subject to a maximum reduction to zero.
Z means	The option hedging method is not permitted; the option standard method must be used.