Spread rate (in %)
0 ≤ 1 month
> 1 ≤ 3 months
> 3 ≤ 6 months
> 6 ≤ 12 months
> 1 ≤ 2 years
> 2 ≤ 3 years
> 3 years
Financial Services (Investment and Fiduciary Services)
Repealed Subsidiary 2007/002
FINANCIAL SERVICES (CAPITAL ADEQUACY OF INVESTMENT
FIRMS) REGULATIONS 2007 paragraph 7 shall be assigned to the appropriate maturity bands. Physical stocks shall be assigned to the first maturity band.
14. The Authority may allow positions which are, or are regarded pursuant to paragraph 7 as, positions in the same commodity to be offset and assigned to the appropriate maturity bands on a net basis for the following–
positions in contracts maturing on the same date; and
positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.
15. The investment firm 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 (latter) which are matched by the latter (former) 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.
16. That part of the unmatched long (short) position for a given maturity band that is matched by the unmatched short (long) position 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.