CA-5.4 CA-5.4 Calculation of the capital charge
CA-5.4.1
The capital charge is 8% of the overall net open foreign currency position.
October 07CA-5.4.2
The table below illustrates the calculation of the overall net open foreign currency position and the capital charge:
October 07Example of the calculation of the foreign exchange overall net open position and the capital charge
GBP DEM SAR US$ JPY GOLD +200 +100 +70 -190 -40 -50 +370 -230 50 The capital charge is 8% of the higher of either the sum of the net long currency positions or the sum of the net short positions (i.e. 370) and of the net position in gold (i.e. 50) = 420 @ 8% = 33.6
October 07CA-5.4.3
For illustration and calculation of the overall net open position and the capital charge for unrestricted / restricted investment account and corporate book, refer to Section CA-5.3.
October 07
