CA-10.5.6

Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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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.
Apr 08