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CA-13.4.8

To summarise, capital requirements for, say OTC options, applying the scenario approach 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-13.4.7); PLUS
(c) Directional and volatility risk capital charges (i.e., the worst case loss from a given scenario matrix analysis).
Amended: January 2012
Apr 08