Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p11
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 11/27)
Character Range: 53944–56805

and the total long position).

Row – Total capital charge across all commodities

Derived field that sums up column 3 Capital charge for individual commodities under the simplified method. This charge will also be captured under item 1.4.1 of the Market risk summary table.

Table 6: Maturity ladder method

Commodity

List each separate commodity in which the ADI has positions.

Columns 1.1 to 7.2

For each of the maturity bands, report the total long position and the total short position in each commodity. Physical stocks should be allocated to the first time band.  Positions in commodity derivatives should be assigned maturities in accordance with the treatment set out in paragraph 71 of Attachment B to APS 116.

Column 8 - Total capital charge

The capital charge for each commodity is to be calculated in accordance with paragraphs 72 to 75 of Attachment B to APS 116. A separate calculation must be performed for each commodity in which the ADI has a position. Report the total capital charge for each commodity in column 8.

Row – Total capital charge across all commodities

Derived field that sums up column 8 Total capital charge for individual commodities under the maturity ladder method. This charge will also be captured under item 1.4.2 of the Market risk summary table.

Table 7: Options - Simplified method

The simplified method may only be used by those ADIs that handle a limited range of purchased options. The method requires that options and any associated underlying positions be excluded from the asset class calculations detailed in Tables 1 to 6.  Instead a separate capital charge is calculated for each option portfolio.

The method for calculating the capital charge on an options position depends on whether the position is covered or naked. Option positions, which are partially covered, should be separated into a fully covered position and a naked position.

For both covered and naked positions, if positions do not fall within the trading book (for example, options on certain foreign exchange or commodities positions), ADIs may use the book value rather than the market value.

Columns 1, 2, 3 & 4

In the relevant column for each asset class (column 1 Interest rates, column 2 Equities, column 3 Foreign exchange, and column 4 Commodities), report the capital charge (refer to paragraph 79 of Attachment B to APS 116) for the following positions separately:

    (a)          covered positions:

       (i)            purchased put and long underlying (item 1.1); and

       (ii)         purchased call and short underlying (item 1.2).

    (b)          naked positions:

       (i)            purchased put (item 1.3); and

       (ii)         purchased call (item 1.4).

  1.5.  Total capital charge

For columns 1 to 4, item 1.5 Total capital charge is a derived field that sums up the