ANNEX
List of instruments bearing residual risks referred to in Article 2
The instruments referred to in Article 2 shall be any of the following:
|
1. |
options where the pay-offs depend on the path followed by the price of the underlying asset and not just its final price on the exercise date; |
|
2. |
options that start at a predefined date in the future and whose strike price is not yet determined at the time at which the option is in the trading book of the institution; |
|
3. |
options whose underlying is another option; |
|
4. |
options with discontinuous pay-offs; |
|
5. |
options allowing the holder to modify the strike price or other terms of the contract before the maturity of the options; |
|
6. |
options that can be exercised on a finite set of predetermined dates; |
|
7. |
options whose underlying is denominated in one currency but whose pay-offs are settled in a different currency, with a predetermined exchange rate between the two currencies; |
|
8. |
multi-underlying options, excluding those referred to in Article 3, points (c) and (d); |
|
9. |
options subject to behavioural risk, only where all of the following conditions are met:
|