+CHAPTER 4 Own funds requirements for commodities risk
---+Article 355 Choice of method for commodities risk
---+Article 356 Ancillary commodities business
------+Article 356 1.
------+Article 356 2.
---+Article 357 Positions in commodities
------+Article 357 1.
------+Article 357 2.
------+Article 357 3.
------+Article 357 4.
---+Article 358 Particular instruments
------+Article 358 1.
------+Article 358 2.
------+Article 358 3.
------+Article 358 4.
------+Article 358 5.
---+Article 359 Maturity ladder approach
------+Article 359 1.
------+Article 359 2.
------+Article 359 3.
------+Article 359 4.
------+Article 359 5.
------+Article 359 6.
---+Article 360 Simplified approach
------+Article 360 1.
------+Article 360 2.
---+Article 361 Extended maturity ladder approach

CHAPTER 4 Own funds requirements for commodities risk

CHAPTER 4 Own funds requirements for commodities risk

1. Overview

,
Article 355 Choice of method for commodities risk

Article 355

Choice of method for commodities risk

Subject to Articles 356 to 358, institutions shall calculate the own funds requirement for commodities risk with one of the methods set out in Article 359, 360 or 361.
Article 356 Ancillary commodities business
Article 357 Positions in commodities
Article 358 Particular instruments
Article 359 Maturity ladder approach
Article 360 Simplified approach
Article 361 Extended maturity ladder approach

Article 361

Extended maturity ladder approach

Institutions may use the minimum spread, carry and outright rates set out in the following Table 2 instead of those indicated in Article 359 provided that the institutions:

(a) 

undertake significant commodities business;

(b) 

have an appropriately diversified commodities portfolio.

▼M17 —————

▼C2



Table 2

 

Precious metals (except gold)

Base metals

Agricultural products (softs)

Other, including energy products

Spread rate (%)

1,0

1,2

1,5

1,5

Carry rate (%)

0,3

0,5

0,6

0,6

Outright rate (%)

8

10

12

15

▼M17

Institutions shall notify the use they make of this Article to their competent authorities.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards