Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2006 - Reporting Standard ARS 113.0 - Market Risk
Positions attracting 8 per cent specificPositions attracting 8 per cent specific risk charge
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Positions attracting 8 per cent specific risk charge
The capital charge for specific risk is equal to 8 per cent of the gross position (i.e. the sum of the absolute value of all long equity positions and of all short equity positions). The exceptions to this rule are where:
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the portfolio is both liquid and well diversified (refer to paragraphs 39 to 41 of AGN 113.3);
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the position is in an approved index contract (refer to paragraph 47 of AGN 113.3); and
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the ADI is engaged in certain arbitrage transactions (refer to paragraphs 49 to 53 of AGN 113.3).
The gross value of all positions not eligible for any of these exceptions is to be reported in the second column: “Positions attracting 8% specific risk”.