(SECTION A.4) Assume all positions are in the same commodity as defined in paragraph 5 of A.4 and converted at current spot rates into US $ as the national currency. Table 11 | Time band | Position | Spread rate | Capital calculation | | | 0 - 1 month | | 1.5% | | | | 1 - 3 months | | 1.5% | | | | 3 - 6 months | Long
800 US$
Short
1000 US$ | 1.5% | 800 long + 800 short
(matched) x 1.5% =
200 short carried forward
to 1-2 years, capital charge:
200 x 2 x 0.6% = |
24
2.4 | | 6 - 12 months | | 1.5% | | | | 1 - 2 years | Long
600 US $ | 1.5% | 200 long + 200 short
(matched) x 1.5% =
400 long carried forward
to over 3 years,
capital charge:
400 x 2 x 0.6% = |
6
4.8 | | 2 - 3 years | | 1.5% | | | | over 3 years | Short
600 US $ | 1.5% | 400 long + 400 short
(matched) x 1.5% =
net position: 200
capital charge:
200 x 15% = |
12
30 | |
The total capital charge will be US $ 79.2.
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