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Summary of Treatment of Equity Derivatives

Instrument Specific risk charge* General market risk charge
Exchange-traded or OTC futures    
- Individual equity Yes Yes, as underlying
- Index Yes
(see CA-10.5)
Yes, as underlying
Options    
- Individual equity

- Index
Yes

Yes
Either (a) or (b) as below (Chapter CA-13 for a detailed description):
(a) Carve out together with the associated hedging positions, and use:
- simplified approach; or
- scenario analysis; or
- internal models (Chapter CA-15).
(b) General market risk charge according to the delta-plus method (gamma and vega should receive separate capital charges).
* This is the specific risk charge relating to the issuer of the instrument. Under the credit risk rules, there remains a separate capital charge for the counterparty risk.
January 2015