Summary of Treatment of Equity Derivatives
| Instrument | Specific risk charge* | General market risk charge |
| Exchange-traded or |
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| - 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
- 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 |
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January 2015