• PRU 5.8 PRU 5.8 Option Risk Capital Requirement

    • PRU 5.8.1

      An Authorised Person in Category 1, 2 or 5 must calculate an Option Risk Capital Requirement if it has positions in Options in its Trading Book by:

      (a) applying its internally developed Market Risk model which has been approved by the Regulator for this purpose; or
      (b) by applying the Rules set out in Section A5.6.