Financial Sector (Collection of Data) (reporting standard) determination No. 1 of 2012 - ARS 116.0 - Market Risk
Foreign exchangeForeign exchange
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Foreign exchange
For options with foreign exchange or gold[4] as the underlying, the delta-equivalent position must be entered in Table 4, in accordance with the reporting instructions applicable to foreign exchange and gold. Note that for an option over a currency pair not involving AUD, two delta-equivalent positions must be entered into Table 4, one corresponding to the currency bought and the other corresponding to the currency sold. For currency pairs involving AUD, only one delta-equivalent position is entered in Table 4 for the foreign currency.