Guidance

As an example of how the calculation would work, if a holder of 100 Shares currently valued at $10 each holds an equivalent put Option with a strike price of $11, the capital charge would be: $1,000 × 16% (i.e., 8% specific plus 8% General Market Risk) = $160, less the amount the Option is in the money ($11 - $10) × 100 = $100, i.e., the capital charge would be $60. A similar methodology applies for Options whose underlying instrument is a Foreign Currency, an interest rate related instrument or a commodity.