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  • CA-11.4 CA-11.4 Calculation of the Overall Net Open Positions

    • CA-11.4.1

      The net long or short position in each currency is converted, at the spot rate, into the reporting currency. The overall net open position is measured by aggregating the following:

      (a) The sum of the net short positions or the sum of the net long positions, whichever is greater; plus
      (b) The net position (short or long) in gold, regardless of sign.
      January 2015

    • CA-11.4.2

      Where the conventional bank licensee is assessing its foreign exchange risk on a consolidated basis, it may be technically impractical in the case of some marginal operations to include the currency positions of a foreign branch or subsidiary of the conventional bank licensee. In such cases, the internal limit for that branch/subsidiary, in each currency, may be used as a proxy for the positions. The branch/subsidiary limits must be added, without regard to sign, to the net open position in each currency involved. When this simplified approach to the treatment of currencies with marginal operations is adopted, the conventional bank licensee must adequately monitor the actual positions of the branch/subsidiary against the limits, and revise the limits, if necessary, based on the results of the ex-post monitoring.

      January 2015