IBANK 6.3.5 Capital Charges — 'Long Put' or 'Long Call'
(1) For a position that is 'long put' or 'long call', the capital charge is the lesser of:
(a) the market value of the underlying security multiplied by the sum of the specific and general risk capital charges for the underlying; and
(b) the market value of the option.
(2) For subrule (1)(b), the book value of the option may be used instead of the market value if the position is not included in the trading book (for example, options on particular foreign exchange or commodities positions).
|Derived from QFCRA RM/2015-2 (as from 1st January 2016).|