Document ID: chunk:federal_register_of_legislation:F2023L00288:reg:5:p10
Version: federal_register_of_legislation:F2023L00288
Segment Type: reg
Provision Reference: reg 5 (pt 10/27)
Character Range: 51392–54192

short positions under this item.

2. Gold

Report the Australian dollar equivalent of the net open position in gold (including sign) under this item. This should be calculated in the same way as the net open positions in foreign currencies. Gold positions (in AUD equivalent amounts) may be segmented into a gold exposure and a US dollar (USD) exposure.

3. Capital charge

Derived field calculated as 8 per cent of the sum of the absolute values of item 1 Higher of aggregate net short/long open positions and item 2 Gold. This charge will also be captured under item 1.3.1 of the Market risk summary table.

Tables 5 & 6:  Commodities risk – General guidance

An ADI that uses the simplified approach to calculate the capital charge for commodities risk should complete Table 5. An ADI that uses the maturity ladder approach should complete Table 6.

All commodity positions, both on-balance sheet and off-balance sheet, which are affected by changes in commodity prices, should be included. This includes commodity forwards, commodity futures and commodity swaps. It also includes the delta-equivalent of commodity options (where the delta-plus method for options is used). Commodity derivatives should be converted into notional commodity positions according to the methods set out in paragraph 71 of Attachment B to APS 116.

Each commodity position should first be expressed in terms of the standard unit of measurement (e.g. barrels, kilos, grams) and then converted into Australian dollars using spot rates applying at the close of business on the reporting date (report the AUD figure).  If prior approval has been obtained from APRA, positions in foreign currency denominated commodities may be segmented into a commodity exposure and a foreign currency exposure.

The capital charge must be calculated separately for each commodity. Positions in different commodities may not, as a general rule, be offset (refer to paragraph 68 of Attachment B to APS 116 for details of permissible offsetting).

Table 5: Simplified method

Commodity

List each separate commodity in which the ADI has positions.

Columns 1 & 2 - Total short position & total long position

Report the total short position and the total long position in each commodity.

Column 3 - Capital charge

Derived field calculated for each commodity as 15 per cent of the net open position (the difference between the total short position and the total long position) plus 3 per cent of the gross position (the sum of the absolute values of the total short position 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