Article 4
Calculation of the own funds requirements for market risk for non-trading book positions subject to commodity risk or both to commodity and foreign exchange risk in accordance with the alternative internal model approach
1.
When calculating the own funds requirements for non-trading book positions subject either to commodity risk or both to commodity and foreign exchange risk in accordance with the alternative internal model as set out in Part Three, Title IV, Chapter 1b, of Regulation (EU) No 575/2013, institutions shall use as a basis the last available fair value of those positions. Institutions shall measure those positions at fair value on a daily basis.
2.
In relation to non-trading book positions subject to commodity risk only, when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation, institutions shall apply scenarios of future shocks or extreme scenarios of future shock, respectively, only to risk factors that belong to the commodity broad risk factor category referred to in Article 325bd(1) of that Regulation.
3.
In relation to non-trading book positions subject to commodity risk and foreign exchange risk, when calculating the expected shortfall risk measure referred to in Article 325bb of Regulation (EU) No 575/2013 or the stress scenario risk measure referred to in Article 325bk of that Regulation, institutions shall apply scenarios of future shocks or extreme scenarios of future shock, respectively, to the risk factors that belong to the commodity or foreign exchange broad risk factor categories referred to in Article 325bd(1) of that Regulation.
4.
Institutions shall document, as part of the internal policies referred to in Article 325bi of Regulation (EU) No 575/2013, whether non-trading book positions subject to commodity risk or to both commodity and foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Article 104b(6) of Regulation (EU) No 575/2013, or to a trading desk managing both trading and non-trading book positions. Where some non-trading book positions subject to foreign exchange risk are assigned to a trading desk managing exclusively non-trading book positions in accordance with Article 104b(6) of Regulation (EU) No 575/2013, and some others are assigned to a trading desk managing both trading and non-trading book positions, the internal policies shall specify the criteria and the rationale for the assignment to a trading desk exclusively managing non-trading book positions or to a desk managing both trading and non-trading book positions.