This net open position shall consist of the sum of the following elements (positive or negative)–
the net spot position (i.e. all asset items less all liability items, including accrued interest, in the currency in question or, for gold, the net spot position in gold);
the net forward position (i.e. all amounts to be received less all amounts to be paid under forward exchange and gold transactions, including currency and gold futures and the principal on currency swaps not included in the spot position);
irrevocable guarantees (and similar instruments) that are certain to be called and likely to be irrecoverable;
net future income or expenses not yet accrued but already fully hedged (at the discretion of the reporting investment firm and with the prior consent of the Authority, net future income or expenses not yet entered in accounting records but already fully hedged by forward foreign-exchange transactions may be included here). Such discretion must be exercised on a consistent basis;
the net delta (or delta-based) equivalent of the total book of foreign currency and gold options; and
Financial Services (Investment and Fiduciary Services)
Repealed Subsidiary 2007/002
FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT FIRMS) REGULATIONS 2007
Regulations 9, 10, 14, 22 and 35
Calculating Capital Requirements for Foreign-exchange Risk
1. If the sum of an investment firm’s overall net foreign-exchange position and its net gold position, calculated in accordance with the procedure set out in paragraph 2, exceeds 2 % of its total own funds, it shall multiply the sum of its net foreign-exchange position and its net gold position by 8 % in order to calculate its own funds requirement against foreign-exchange risk.
2. A two-stage calculation shall be used for capital requirements for foreign- exchange risk.
Firstly, the investment firm’s net open position in each