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).