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Article 359 - Maturity ladder approach

Article 359

Maturity ladder approach

1.  

The institution shall use a separate maturity ladder in line with Table 1 for each commodity. All positions in that commodity shall be assigned to the appropriate maturity bands. Physical stocks shall be assigned to the first maturity band between 0 and up to and including 1 month.



Table 1

Maturity band

(1)

Spread rate (in %)

(2)

0 ≤ 1 month

1,50

> 1 ≤ 3 months

1,50

> 3 ≤ 6 months

1,50

> 6 ≤ 12 months

1,50

> 1 ≤ 2 years

1,50

> 2 ≤ 3 years

1,50

> 3 years

1,50

2.  

Positions in the same commodity may be offset and assigned to the appropriate maturity bands on a net basis for the following:

(a) 

positions in contracts maturing on the same date;

(b) 

positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.

3.  
The institution shall then calculate the sum of the long positions and the sum of the short positions in each maturity band. The amount of the former which are matched by the latter in a given maturity band shall be the matched positions in that band, while the residual long or short position shall be the unmatched position for the same band.
4.  
That part of the unmatched long position for a given maturity band that is matched by the unmatched short position, or vice versa, for a maturity band further out shall be the matched position between two maturity bands. That part of the unmatched long or unmatched short position that cannot be thus matched shall be the unmatched position.
5.  

The institution's own funds requirement for each commodity shall be calculated on the basis of the relevant maturity ladder as the sum of the following:

(a) 

the sum of the matched long and short positions, multiplied by the appropriate spread rate as indicated in the second column of Table 1 for each maturity band and by the spot price for the commodity;

(b) 

the matched position between two maturity bands for each maturity band into which an unmatched position is carried forward, multiplied by 0,6 %, which is the carry rate and by the spot price for the commodity;

(c) 

the residual unmatched positions, multiplied by 15 % which is the outright rate and by the spot price for the commodity.

6.  
The institution's overall own funds requirement for commodities risk shall be calculated as the sum of the own funds requirements calculated for each commodity in accordance with paragraph 5.
In force

Version from: 08/07/2022

Amendment History