Past version: effective from 21/10/2015 - 20/10/2015
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An Authorised Person must calculate its Equity Risk Capital Requirement by:
(a) identifying all applicable positions within the scope of the requirement, including notional positions derived from certain instruments;
(b) Netting positions where they meet the conditions for Netting set in Rule A5.3.19;
(c) calculating an Equity Risk Capital Requirement for each individual position using the standard method in accordance with Rule A5.3.23 or the simplified method in accordance with Rule A5.3.31;
(d) in the case of a forward, Future, Option or company issued Warrant on an equity, basket of equities or equity index, adding an Interest Rate Risk Capital Requirement; and
(e) summing the Capital Requirements calculated in accordance with (c) and (d).