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: the option lies with a retail client; a significant amount of these options are held in the trading book; the behavioural risk of these options is assessed by the institution to be material. |