4.17 Net Options Position:
The options position is the “delta-equivalent” spot currency position as reflected in the authorized dealer’s options risk management system, and includes any delta hedges in place which have not already been included under Net Spot Position and Net Forward Position.
4.18 Offshore exposures:
For banks with overseas presence, the offshore exposures should be calculated on a standalone basis and should not be netted with onshore exposures.
The aggregate limit (on-shore + off-shore) may be termed Net Overnight open Position (NOOP) and will be subjected to capital charge.
Accumulated surplus of foreign branches need not be reckoned for calculation of open position – this is very important and critical.
Example:
If a bank has 5 foreign branches and the respective 5 foreign branches have the following open position:
Branch A: + Rs. 15 Crores
Branch B: + Rs. 20 Crores
Branch C: – Rs. 10 Crores
Branch D: + Rs. 05 Crores
Branch E: – Rs. 10 Crores
The open position for the overseas branches taken together
would be INR 40 crores