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Capital Requirements Regulation (CRR)
Article 360

Article 360 - Simplified approach

Status
In force
Selected consolidated version from
30/09/2021
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Article 360

Simplified approach

1.  

The institution's own funds requirement for each commodity shall be calculated as the sum of the following:

(a) 

15 % of the net position, long or short, multiplied by the spot price for the commodity;

(b) 

3 % of the gross position, long plus short, multiplied by the spot price for the commodity.

2.  
The institution's overall own funds requirement for commodities risk shall be calculated as the sum of the own funds requirements calculated for each commodity in accordance with paragraph 1.

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