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  • CA-12.4 CA-12.4 Simplified Approach

    • CA-12.4.1

      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-12.2.

      January 2015

    • CA-12.4.2

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

      January 2015