Related provisions for BIPRU 7.8.1

Table: The hedging method of calculating the PRR (equities, debt securities and gold)

This table belongs to BIPRU 7.6.24R(1) - (3)

	PRR
	Option or warrant position	In the money by more than the position risk adjustment	In the money by less than the position risk adjustment	Out of the money or at the money
Long in security or gold	Long put	Zero	Wp	X
Long in security or gold	Short call	Y	Y	Z
Short in security or gold	Long call	Zero	Wc	X
Short in security or gold	Short put	Y	Y	Z
Where:
Wp means	{(position risk adjustment-100%) x The underlying position valued at strike price}		+	The market value of the underlying position
Wc means	{(100% +position risk adjustment x The underlying position valued at strike price}		-	The market value of the underlying position
X means	The market value of the underlying position multiplied by the appropriate position risk adjustment
Y means	The market value of the underlying position multiplied by the appropriate position risk adjustment. This result may be reduced by the market value of the option or warrant, subject to a maximum reduction to zero.
Z means	The option hedging method is not permitted; the option standard method must be used.