In its trading portfolio, an FI holds 10 000 BHP Billiton (BHP) shares at a share price of $86.50 and has sold 5000 Woolworths (WOW) shares under a forward contract that matures in one year. The current share price for WOW is $20.50. The shift risk factor (standard deviation) for level I risk factor is 4 per cent, for level II risk factor is 6 per cent, for level III long positions is 9 per cent, for level III short positions is −9 per cent, and for non-hedgeable risk is 1 per cent. Using the risk factors listed in Table 9.8 , calculate the market risk capital charge on these securities. LO 9.7