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+Article 274 6. |
Article 274 6.In a netting set, institutions shall replace a transaction which is a finite linear combination of bought or sold call or put options with all the single options that form that linear combination, taken as an individual transaction, for the purpose of calculating the exposure value of the netting set in accordance with this Section. Each such combination of options shall be treated as an individual transaction in the netting set in which the combination is included for the purpose of calculating the exposure value. By way of derogation from the first subparagraph, institutions shall replace a vanilla digital option the strike of which equals K with the relevant collar combination of two sold and bought vanilla call or put options that meet the following requirements:
(a)
the two options of the collar combination have:
(i)
the same expiry date and the same spot or forward price of the underlying instrument as the vanilla digital option;
(ii)
strikes equal to 0,95 ·K and 1,05 ·K respectively;
(b)
the collar combination replicates exactly the vanilla digital option payoff outside the range between the two strikes referred to in point (a). The risk position of the two options of the collar combination referred to in the second subparagraph shall be calculated separately in accordance with Article 279. 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
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