Appendix BAppendix B

Appendix B

(1) The value of a derivative is: (a) if the derivative is listed in the table below—as specified in the table; and (b) if the derivative is not listed in the table below or if a value specified in the table does not give a reasonable relative estimation of the market risk—the value which in the reasonable opinion of the operator has appropriate relativity to the values of other derivatives calculated in accordance with paragraph (a) above, taking into account the market value of the equivalent position in the underlying asset.

Note: Example: A value calculated in accordance with the table may not give a reasonable relative estimation of the risks for certain binary options or whether the notional contract value is determined in an un‑assumed manner.

(2) The operator may demonstrate compliance with a requirement of the Passport Rules, for the home economy or any host economy for the passport fund, affected by a value of a derivative by using instead of the value under subsection (1) above, a value for a derivative calculated by reference to the notional value of the derivative where the amount is higher. (3) If the value of a derivative is calculated in accordance with paragraph (1)(b), the operator must: (a) document why the value is appropriate; and (b) keep a copy of that documentation for 5 years after the derivative has been terminated.

<table cellspacing="0" cellpadding="0" style="width:396.65pt; margin-left:5.65pt; border-collapse:collapse"><thead><tr><td style="width:179.15pt; border-top:1.5pt solid #000000; border-bottom:1.5pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p class="TableHeading"><span>Types of derivatives</span></p></td><td style="width:195.9pt; border-top:1.5pt solid #000000; border-bottom:1.5pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p class="TableHeading"><span>Commitment value</span></p></td></tr></thead><tbody><tr><td colspan="2" style="width:385.85pt; border-top:1.5pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p class="TableHeading"><span>Plain vanilla options (including bought/sold puts and calls)</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Bond option</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract value x market value of underlying reference bond x delta</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Currency option</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract value of foreign currency leg(s) x delta</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Equity option</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract size x market value of underlying equity share if the contract size is determined by the number of underlying shares x delta</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Index option</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract value x index level x delta</span></p><p class="Tabletext"><span>or</span></p><p class="Tabletext"><span>Point value x index level x delta, if appropriate</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Interest rate option</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract value x delta</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Warrant and Rights</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Number of shares/bonds x market value of underlying referenced instrument x delta</span></p></td></tr><tr><td colspan="2" style="width:385.85pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p class="TableHeading"><span>Futures</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Bond future</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract size x market price of the cheapest</span><span>‑</span><span>to</span><span>‑</span><span>deliver reference bond</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Currency future</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Number of contracts x notional contract size</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Equity future</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract size x market price of underlying equity transferable security</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Index future</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract size x index level</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Interest rate future</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Number of contracts x notional contract size</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Commodity future</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional contract size x market price of underlying commodity</span></p></td></tr><tr><td colspan="2" style="width:385.85pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p class="TableHeading"><span>Swaps</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Contract for differences</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Number of shares/bonds x market value of underlying referenced instrument</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Credit default swap</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Protection buyer: market value of the underlying reference asset</span></p><p class="Tabletext"><span>Protection seller: the higher of the market value of the underlying reference asset or the notional value of the credit default swap</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Currency swap</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional value of foreign currency leg(s)</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Interest rate swap</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Market value of underlying (the notional value of the fixed leg may also be applied)</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Total return swap</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Market value of underlying reference asset(s)</span></p></td></tr><tr><td colspan="2" style="width:385.85pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt; vertical-align:top"><p class="TableHeading"><span>Forwards</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Forward rate agreement</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:0.75pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional value</span></p></td></tr><tr><td style="width:179.15pt; border-top:0.75pt solid #000000; border-bottom:1.5pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>FX forward</span></p></td><td style="width:195.9pt; border-top:0.75pt solid #000000; border-bottom:1.5pt solid #000000; padding-right:5.4pt; padding-left:5.4pt"><p class="Tabletext"><span>Notional value of foreign currency leg(s)</span></p></td></tr></tbody></table>