CA-5.5.6
In the case of the futures-related arbitrage strategies set out below, the specific risk capital charge described above may be applied to only one index with the opposite position exempt from a specific risk capital charge. The strategies are as follows:
(a) Where a bank takes an opposite position in exactly the same index, at different dates or in different market centres;
(b) Where a bank takes opposite positions in contracts at the same date in different but similar indices, provided the two indices contain at least 90% common components.
October 07