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CA-13.3.12

To summarise, capital requirements for, say OTC options, applying 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-13.3.11); PLUS
(c) Delta risk capital charges (calculated as explained in Paragraphs CA-13.3.3 through CA-13.3.9) PLUS
(d) Gamma and vega capital buffers (calculated as explained in Paragraph CA-13.3.10).
Amended: January 2012
Apr 08