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CA-8.3.1

Conventional bank licensees must calculate the counterparty credit risk charge for OTC derivatives, repo-style and other transactions booked in the trading book, separate from the capital charge for general market risk and specific risk.43 The risk weights to be used in this calculation must be consistent with those used for calculating the capital requirements in the banking book. Thus, conventional bank licensees must use the standardised approach risk weights in the trading book.


43 The treatment for unsettled foreign exchange and securities trades is set forth in Paragraph CA-3.3.13.

January 2015