Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
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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 form