in force 2021-09-30 MODIFIED+21 −115§
Amended by Regulation (EU) 2021/424 32021R0424
applies from: unchanged
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it and the amending act's instructions do not mention it. All are shown; none is overruled.
In paragraph 1 and paragraph 4, the formulas that were previously rendered inline as running mathematical expressions are now shown without that inline formula text preceding the 'where' definitions.
In paragraph 5, the reference to the hedging set is changed from point (e)(i) of Article 277a(1) to point (e) of Article 277a(1), and the numeric supervisory factor values of 18 % and 40 % are replaced with unlabelled placeholders rather than stated percentages.
Cited: Art. 280e, v1 · Art. 280e, v2
text before / after
02013R0575-20210629 → 02013R0575-20210930
Article 280e
Commodity risk category add-on
1. For the purposes of Article 278, institutions shall calculate the commodity risk category add-on for a given netting set as follows:AddOnComiAddOnComj follows:
where:
AddOnCom
the commodity risk category add-on;
j
the index that denotes the commodity hedging sets established in accordance with point (e) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnComj
the commodity risk category add-on for hedging set j calculated in accordance with paragraph 4.
2. For the purpose of calculating the add-on for a commodity hedging set of a given netting set in accordance with paragraph 4, institutions shall establish the relevant commodity reference types of each hedging set. Commodity derivative transactions shall be assigned to the same commodity reference type only where the underlying commodity instrument of those transactions has the same nature, irrespective of the delivery location and quality of the commodity instrument.
3. By way of derogation from paragraph 2, competent authorities may require an institution which is significantly exposed to the basis risk of different positions sharing the same nature as referred to in paragraph 2 to establish the commodity reference types for those positions using more characteristics than just the nature of the underlying commodity instrument. In such a situation, commodity derivative transactions shall be assigned the same commodity reference type only where they share those characteristics.
4. Institutions shall calculate the commodity risk category add-on for hedging set j as follows:AddOnComjєjρComkAddOnTypejk21ρCom2kAddOnTypejk2 follows:
where:
AddOnComj
the commodity risk category add-on for hedging set j;
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
ρCom
the correlation factor of the commodity risk category with a value equal to 40 %;
k
the index that denotes the commodity reference types of the netting set established in accordance with paragraph 2; and
AddOnTypejk
the add-on for the commodity reference type k calculated in accordance with paragraph 5.
5. Institutions shall calculate the add-on for the commodity reference type k as follows:AddOnTypejkSFComkEffNotComk
where:
AddOnTypejk
the add-on for the commodity reference type k;
SFComk
the supervisory factor applicable to the commodity reference type k; where the commodity reference type k corresponds to transactions allocated to the hedging set referred to in point (e)(i) (e) of Article 277a(1), excluding transactions concerning electricity, SFComk18 %; ; for transactions concerning electricity, SFComk40 %; ; and
EffNotComk
the effective notional amount of the commodity reference type k calculated as follows:EffNotComkl ∈ Commodity reference type kRiskPositionl
where:
l
the index that denotes the risk position.