Article 280e | CRR | Regulation 575/2013

Article 280e - Commodity risk category add-on

Article 280e

For the purposes of Article 278, institutions shall calculate the commodity risk category add-on for a given netting set as follows:

where:

AddOnCom

the commodity risk category add-on;

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

the commodity risk category add-on for hedging set j calculated in accordance with paragraph 4.

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.

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.

Institutions shall calculate the commodity risk category add-on for hedging set j as follows:

where:

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 %;

the index that denotes the commodity reference types of the netting set established in accordance with paragraph 2; and

the add-on for the commodity reference type k calculated in accordance with paragraph 5.

Institutions shall calculate the add-on for the commodity reference type k as follows:

where:

the add-on for the commodity reference type k;

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) of Article 277a(1), excluding transactions concerning electricity,; for transactions concerning electricity,; and

the effective notional amount of the commodity reference type k calculated as follows:

where:

the index that denotes the risk position.

PART ONE - GENERAL PROVISIONS (Article 1-24)

PART TWO - OWN FUNDS AND ELIGIBLE LIABILITIES (Article 25-91)

PART THREE - CAPITAL REQUIREMENTS (Article 92-386)

TITLE I - GENERAL REQUIREMENTS, VALUATION AND REPORTING (Article 92-106)

TITLE II - CAPITAL REQUIREMENTS FOR CREDIT RISK (Article 107-311)

CHAPTER 1 - General principles (Article 107-110)

CHAPTER 2 - Standardised approach (Article 111-141)

CHAPTER 3 - Internal Ratings Based Approach (Article 142-191)

CHAPTER 4 - Credit risk mitigation (Article 192-241)

CHAPTER 5 - Securitisation (Article 242-270e)

CHAPTER 6 - Counterparty credit risk (Article 271-311)

Section 1 - Definitions (Article 271-272)

Section 2 - Methods for calculating the exposure value (Article 273-273b)

Section 3 - Standardised approach for counterparty credit risk (Article 274-280f)Article 274 - Exposure value Q&A Article 275 - Replacement cost Q&A Article 276 - Recognition and treatment of collateral Article 277 - Mapping of transactions to risk categories RTS Article 277a - Hedging sets Article 278 - Potential future exposure Article 279 - Calculation of the risk position Article 279a - Supervisory delta RTSQ&A Article 279b - Adjusted notional amount Q&A Article 279c - Maturity Factor Q&A Article 280 - Hedging set supervisory factor coefficient Article 280a - Interest rate risk category add-on Q&A Article 280b - Foreign exchange risk category add-on Article 280c - Credit risk category add-on Q&A Article 280d - Equity risk category add-on Article 280e - Commodity risk category add-on Article 280f - Other risks category add-on

Section 4 - Simplified standardised approach for counterparty credit risk (Article 281)

Section 5 - Original exposure method (Article 282)

Section 6 - Internal Model Method (Article 283-294)

Section 7 - Contractual netting (Article 295-298)

Section 8 - Items in the trading book (Article 299)

Section 9 - Own funds requirements for exposures to a central counterparty (Article 300-311)

TITLE III - OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK (Article 312-324)

TITLE IV - OWN FUNDS REQUIREMENTS FOR MARKET RISK (Article 325-377)

TITLE V - OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK (Article 378-380)

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)

PART FOUR - LARGE EXPOSURES (Article 387-403)

PART FIVE - EXPOSURES TO TRANSFERRED CREDIT RISK (Article 404-410)

PART SIX - LIQUIDITY (Article 411-428az)

PART SEVEN - LEVERAGE (Article 429-429g)

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)

PART EIGHT - DISCLOSURE BY INSTITUTIONS (Article 431-455)

PART NINE - DELEGATED AND IMPLEMENTING ACTS (Article 456-464)

PART TEN - TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS (Article 465-520)

PART ELEVEN - FINAL PROVISIONS (Article 521)

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Article 280e - Commodity risk category add-on

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