Market Risk
1
Application and Definitions
1.2
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2
Use of Internal Models: Risk Capture
2.1
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- (a) must identify any material risks, or risks that when considered in aggregate are material, which are not captured by those models; and
- (b) must ensure that it holds own funds to cover those risk(s) in additional to those required to meet its own funds requirement calculated in accordance with Title IV, Chapter 5 of the CRR.
3
Netting: Convertible Bonds
3.1
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- (a) treated as a position in the equity into which it converts; and
- (b) the firm's own funds requirement for the general and specific risk in its equity instruments shall be adjusted by making:
- (i) an addition equal to the current value of any loss which the firm would make if it did convert to equity; or
- (ii) a deduction equal to the current value of any profit which the firm would make if it did convert to equity (subject to a maximum deduction equal to the own funds requirements on the notional position underlying the convertible bond).
4
Instruments for Which No Treatment Specified
4.1
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4.2
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4.3
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4.4
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