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Recital 2

Recital 2

(2)In order to ensure that the default risk is appropriately captured, the indirect exposure value of options, regardless of whether allocated to the trading book or the non-trading book, should therefore depend on the changes in option prices that would result from a default of the respective underlying instrument, e.g. the option’s market value for ‘call’ options and the market value of the option minus its strike price for ‘put’ options.

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