8 • 24
Under the proposed two-part calculation, there would be separate requirements for the position in each individual equity (i.e.,
the gross position) and
for the net position in the market as a whole. Here we show how the system would work for a range of hypothetical portfolios, a
ssuming a capital
charge of 4 percent for the gross positions and 8 percent for the net positions.
x
Factor
y
Factor
Net Position
Capital
Sum of Long
Sum of Short
Gross Position
4 Percent
(difference between
8 Percent
Required
Stock
Positions
Positions
(sum of cols. 1 and 2)
of Gross
cols. 1 and 2)
of Net
(gross + net)
1
100
0
100
4
100
8
12
2
100
25
125
5
75
6
11
3
100
50
150
6
50
4
10
4
100
75
175
7
25
2
9
5
100
100
200
8
0
0
8
6
75
100
175
7
25
2
9
7
50
100
150
6
50
4
10
8
25
100
125
5
75
6
11
9
0
100
100
4
100
8
12
Source:
BIS, 1993.
http://www.bis.org.
Exhibit 8.10.
BIS
Capital Requirement for Equities (Illustration of
x
plus
y
Methodology).