CA-9.7.1

Past version: Effective from 01 Apr 2008 to 31 Dec 2011
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The derivatives should be converted to positions in the relevant underlying and become subject to specific and general market risk charges as described in sections CA-9.2 and CA-9.3, respectively. For the purpose of calculation by the standard formulae, the amounts reported are the market values of the principal amounts of the underlying or of the notional underlying. For instruments where the apparent notional amount differs from the effective notional amount, banks must use the latter.

Apr 08