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CA-12.1.5

The capital charges for commoditiesG risk envisaged by the rules within this Chapter are intended to cover the risks identified in Paragraph CA-12.1.4. In addition, however, conventional bank licenseesG face credit counterpartyG risk on over-the-counter derivativesG , which must be incorporated into their credit riskG capital requirements. Furthermore, the funding of commoditiesG positions may well open a conventional bank licenseeG to interest rate or foreign exchange risk which is captured within the measurement framework set out in Chapters CA-9 and CA-11, respectively.49


49 Where a commodityG is part of a forward contract (i.e.. a quantity of commodityG to be received or to be delivered), any interest rate or foreign exchange risk from the other leg of the contract must be captured, within the measurement framework set out in Chapters CA-9 and CA-11, respectively. However, positions which are purely of a stock financing nature (i.e., a physical stock has been sold forward and the cost of funding has been locked in until the date of the forward sale) may be omitted from the commoditiesG risk-calculation although they will be subject to the interest rate and counterpartyG risk capital requirements.

January 2015
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(1 Version)
 
Jan 1 2015 onwards
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