Financial Sector (Collection of Data) determination No. 68 of 2005 - Reporting Standard ARS 113.0 (2005) - Market Risk
Table 5: Simplified methodTable 5: Simplified method
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Table 5: Simplified method
List each separate commodity in which your ADI has positions. Report the total short position and the total long position in each commodity.
In the last column report the capital charge for each commodity. This is calculated 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).
The capital charges for each individual commodity will be summed to give the total capital charge for commodities risk under the simplified method. This will then be reported at item “D a)” on the Market Risk Summary Report.