CA-8.3.12

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To summarise, capital requirements for, say OTC options, using the delta-plus method are as follows:

(a) Counterparty risk capital charges (on purchased options only), calculated in accordance with the credit risk regulations; PLUS

(b) Specific risk capital charges (calculated as explained in Paragraph CA-8.3.11); PLUS

(c) Delta risk capital charges (calculated as explained in Paragraphs CA-8.3.3 through CA-8.3.9) PLUS

(d) Gamma and vega capital buffers (calculated as explained in Paragraph CA-8.3.10).

October 07