Derivatives
CA-11.3.8
A currency
swap is treated as a combination of a long position in one currency and a short position in the second currency.January 2015CA-11.3.9
There are a number of alternative approaches to the calculation of the foreign exchange risk in options. As stated in Section CA-11.1, with the CBB's prior written approval, a
conventional bank licensee may choose to use internal models to measure the options risk. Extra capital charges will apply to thoseoption risks that theconventional bank licensee's internal model does not capture. The standardised framework for the calculation of options risks and the resultant capital charges is described, in detail, in Chapter CA-13. Where, as explained in Paragraph CA-11.3.1, theoption delta value is incorporated in the net open position, the capital charges for the otheroption risks are calculated separately.January 2015
