IBANK 6.4.4 What to Include in Commodities Risk

(1) In calculating the capital charge for commodities risk, an Islamic banking business firm must include commodity Shari'a-compliant hedging instruments and off-balance-sheet positions that are affected by changes in commodity prices (such commodity swaps). The firm must include commodities risk arising from salam contracts.
(2) Options on commodities for which the options risk is measured using the delta-plus method must also be included (with their underlying assets). Options for which the options risk is measured using the simplified approach must be excluded.
(3) The firm must convert commodity Shari'a-compliant hedging instruments into notional commodities positions and assign them to maturities under rule 6.4.5.
Derived from QFCRA RM/2015-2 (as from 1st January 2016).