ANNEX IV CALCULATING CAPITAL REQUIREMENTS FOR COMMODITIES RISK

Particular instruments

(a) Maturity ladder approach

14. Competent authorities may allow positions which are, or are regarded pursuant to point 7 as, positions in the same commodity to 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; and

(b)

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