[X1PART THREE U.K. CAPITAL REQUIREMENTS

TITLE IVU.K. OWN FUNDS REQUIREMENTS FOR MARKET RISK

CHAPTER 2 U.K. Own funds requirements for position risk

Section 3 U.K. Equities

Article 344U.K. Stock indices

1.[F1The [F2PRA may] make technical standards] listing the stock indices for which the treatments set out in the second sentence of paragraph 4 is available.

F3...

F42.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3.Stock-index futures, the delta-weighted equivalents of options in stock-index futures and stock indices collectively referred to hereafter as ‘ stock-index futures ’ , may be broken down into positions in each of their constituent equities. These positions may be treated as underlying positions in the equities in question, and may, be netted against opposite positions in the underlying equities themselves. Institutions shall notify the competent authority of the use they make of that treatment.

4.Where a stock-index future is not broken down into its underlying positions, it shall be treated as if it were an individual equity. However, the specific risk on this individual equity can be ignored if the stock-index future in question is exchange traded and represents a relevant appropriately diversified index.]