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  • Calculation of the overall net open position

    • CA-5.3.6

      The net 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 liabilities positions or the sum of the net asset positions whichever is greater
      (b) The net position (liabilities and assets) in gold, regardless of sign
      October 07

    • CA-5.3.7

      Where the bank is assessing its foreign exchange 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 bank. 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 should 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 bank should 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.

      October 07