• Calculation of Commodities Risk Capital Requirement

    • PRU A6.5.2

      (1) An Authorised Person must calculate its Commodities Risk Capital Requirement by applying the Maturity Ladder approach in Rule A6.5.5 or the Simplified Approach in Rule A6.5.6 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 Person must determine notional commodity positions by converting the commodity Derivatives into notional underlying commodity positions and assigning appropriate maturities in accordance with Rule A6.5.3.