Entire Section

  • Calculation of Commodities Risk Capital Requirement

    • PIB A5.5.2

      (1) An Authorised Firm must calculate its Commodities Risk Capital Requirement by applying the Maturity Ladder approach in PIB Rule A5.5.5 or the Simplified Approach in PIB Rule A5.5.6 to all Non-Trading and Trading Book:
      (a) commodity positions;
      (b) commodity derivatives and off-balance sheet positions that are affected by changes in commodity prices, having derived notional commodity positions; and
      (c) other positions against which no other Market or Credit Risk Capital Requirement has been applied.
      (2) An Authorised Firm must determine notional commodity positions by converting the commodity derivatives into notional underlying commodity positions and assigning appropriate maturities in accordance with PIB Rule A5.5.3.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]