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Margin Requirement Examples For Sample Options

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Basel Committee on Banking Supervision

Basel Committee on Banking Supervision

www.bis.org

E. Examples Annex 4a sets forth examples of application of the SA-CCR to sample portfolios. Annex 4b sets forth examples of the operation of the SA-CCR in the context of standard margin agreements. Annex 4c sets forth a flow chart of steps for calculating interest-rate add-ons. II.

  Samples, Example, Margin

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