A firm which has, in calculating own funds requirements for position
risk in accordance with Part Three, Title IV, Chapter 2 of the CRR, netted
off its positions in one or more of the equities constituting a stock-index
against one or more positions in the stock-index future or other stock-index
product, must have adequate financial resources and internal capital to
cover the basis risk of loss caused by the future's or other product's value
not moving fully in line with that of its constituent equities.
Status: In force
Version date: 1 January 2014 - onwards
Version 1 of 1