Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk
Columns 1, 2, 3 & 4Columns 1, 2, 3 & 4
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Columns 1, 2, 3 & 4
In the relevant column for each asset class (column 1 Interest rates, column 2 Equities, column 3 Foreign exchange, and column 4 Commodities), report the capital charge (refer to paragraph 79 of Attachment B to APS 116) for the following positions separately:
(a) covered positions:
(i) purchased put and long underlying (item 1.1); and
(ii) purchased call and short underlying (item 1.2).
(b) naked positions:
(i) purchased put (item 1.3); and
(ii) purchased call (item 1.4).