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Dubai Financial Services Authority (DFSA): Contents

Dubai Financial Services Authority (DFSA)
Laws
Rulebook Modules
Prudential — Investment, Insurance Intermediation and Banking Module (PIB) [VER33/02-19]
Sourcebook Modules
Consultation Papers
Policy Statements
DFSA Codes of Practice
Amendments to Legislation
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Financial Markets Tribunal
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(1 version)
 
Dec 9 2012 onwards

PIB A5.6.3

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The definitive version of DFSA handbook text is the PDF version as that is the text of the instrument as made and published by the DFSA.

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An Authorised FirmG using the Simplified ApproachG must treat the positions for the options and the associated underlying instrument, cash or forward, and calculate the capital charge for each position, by reference to the following table:

Position Treatment
Long cash and long put or short cash and long call. The capital charge is the market value of the underlying instrument multiplied by the sum of Specific and General Market RiskG percentages for the underlying InstrumentG less the amount the option is in the money, if any, bounded at zero.
Long call or long put. The capital charge will be the lesser of:
•   the market value of the underlying instrument multiplied by the sum of Specific and General Market RiskG percentages for the underlying instrument; or
•   the market value of the options.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]