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CA-3.2.1

An investment firm licensee's Position Risk Requirement is the sum of its individual Position Risk Requirements, calculated as a percentage of the market or realisable value of each financial instrument held, as specified in Schedule 1 below:

Schedule 1 — Position Risk Requirement
(a) Claims on Sovereigns, Public Sectors Entities, International Organisations, and Multilateral Development Banks
Includes:
1. Claims on governments of GCC member states and their central banks;
2. Claims on other sovereigns and their central banks where such claims are denominated and funded in the relevant domestic currency of that sovereign/central bank;
3. Claims on Bahraini Public Sectors Entities listed in Appendix CA-1;
4. Claims on International Organisations and Multilateral Development Banks listed in Appendix CA-1.
0%
(b) Debt <90 days 90 days–1 yr 1–5 yrs >5 yrs
  OECD 2% x MV 2% x MV 5% x MV 10% x MV
Issued or accepted by banks 2% x MV 2% x MV 5% x MV 10% x MV
Other marketable financial instruments 10% x MV 10% x MV 20% x MV 30% x MV
Floating rate notes <20 yrs 5% x MV    
  >20 yrs 10% x MV    
(c) Equities
  Listed on a regulated financial instrument exchange 25% x MV
Listed on Bahrain Stock Exchange 25% x MV
Traded on a regulated financial instrument exchange 35% x MV
Traded on Bahrain Stock Exchange 35% x MV
Other 100% x MV
(d) Commodities
  Stock positions in physical commodities associated with an investment firm licensee's investment firm 30% of realisable value
(e) Futures, options and contracts for differences
  Exchange traded futures and written options 4 x initial margin requirement
Off exchange futures and written options The appropriate percentage shown in a, b and c above should be applied to the value of the underlying position.
Purchased options As for off exchange written options but limited to the current value of the option.
Contracts for differences 20% of the market value of the contract.
(f) Other investments
  Single premium unit linked bonds and units in a regulated collective investment scheme unless covered below 25% of realisable value
Units in a regulated scheme which is a geared futures and options fund, or a property fund, or a warrant fund 50% of realisable value
With profit life policies 20% of surrender value
Any other investments 100% of amount of asset
Amended: October 2019