in force 2025-01-01 INSERTED+771 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unknown (an inserted provision states its own application date only in prose)
Article 383h is a new provision defining commodity risk factors, setting the buckets for commodity risk factors as the sector buckets referenced elsewhere in the Regulation.
It specifies that commodity delta risk factors are the spot prices of commodities mapped to the same sector bucket, with one net sensitivity computed per bucket, and that commodity vega risk factors are the implied volatilities of commodities mapped to the same sector bucket, also with one net sensitivity computed per bucket.
Cited: Art. 383h, v2
text before / after
inserted text (02013R0575-20250101)
Article 383h Commodity risk factors 1. The buckets for all commodity risk factors shall be the sector buckets referred to in Article 383x. 2. The commodity delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to commodity spot prices shall be the spot prices of all commodities mapped to the same sector bucket referred to in paragraph 1. There shall be one net sensitivity computed for each sector bucket. 3. The commodity vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to commodity price volatility shall be the implied volatilities of all commodities mapped to the same sector bucket referred to in paragraph 1. There shall be one net sensitivity computed for each sector bucket.