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Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 30 September 2021 - onwards
  Version 2 of 2    

Article 325i Treatment of index instruments and other multi-underlying instruments

1. Institutions shall use a look-through approach for index and other multi-underlying instruments in accordance with the following:

(a) for the purposes of calculating the own funds requirements for delta and curvature risk, institutions shall consider that they hold individual positions directly in the underlying constituents of the index or other multi-underlying instruments, except for a position in an index included in the ACTP for which they shall calculate a single sensitivity to the index;

(b) institutions are allowed to net the sensitivities to a risk factor of a given constituent of an index instrument or other multi-underlying instrument with the sensitivities to the same risk factor of the same constituent of single name instruments, except for positions included in the ACTP;

(c) for the purposes of calculating the own funds requirements for vega risk, institutions may either consider that they directly hold individual positions in the underlying constituents of the index o

Comparing proposed amendment...