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  • CA-7.4 CA-7.4 Simplified approach

    • CA-7.4.1

      By the simplified approach, the capital charge of 15% of the net position, long or short, in each commodity is applied to capture directional risk. Net positions in commodities are calculated as explained in section CA-7.2.

    • CA-7.4.2

      An additional capital charge equivalent to 3% of the bank's gross positions, long plus short, in each commodity is applied to protect the bank against basis risk, interest rate risk and forward gap risk. In valuing the gross positions in commodity derivatives for this purpose, banks should use the current spot price.