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Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk
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Turn the raw legal text into a practical explanation grounded in Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk.
For options with equity instruments as the underlying, the delta-equivalent position must be incorporated in Table 3 in the appropriate column as part of a gross position for specific risk depending on whether the underlying instrument attracts an 8 per cent or 2 per cent specific risk charge. The delta-equivalent position must also be included in column 4 Net positions for general market risk of Table 3. The specific risk and general market risk treatment should be in accordance with the instructions for Table 3.