Table 6: Maturity ladder method

List each separate commodity in which your ADI has positions. In 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 following the treatment set out in paragraph 81 of Guidance Note AGN 113.3 The Standard Method.

In the last column report the total capital charge for each commodity. The method for calculating the capital charge is outlined in paragraphs 76 to 80 of Guidance Note AGN 113.3 The Standard Method. A separate calculation must be performed for each commodity in which the ADI has a position.

The capital charges for each individual commodity will be summed to give the total capital charge for commodities risk under the maturity ladder method and reported in the last row of Table 6. This will also be reported at item “D b)” on the Market Risk Summary Report.