- Y Diweddaraf sydd Ar Gael (Diwygiedig)
- Gwreiddiol (Fel y’i mabwysiadwyd gan yr UE)
Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)
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Dyma’r fersiwn wreiddiol (fel y’i gwnaed yn wreiddiol).
The competent authorities shall allow positions in derivative instruments to be treated, as laid down in points 8, 9 and 10, as positions in the underlying commodity.
positions in different sub‐categories of commodities in cases where the sub‐categories are deliverable against each other; and
positions in similar commodities if they are close substitutes and if a minimum correlation of 0,9 between price movements can be clearly established over a minimum period of one year.
The competent authorities may allow the capital requirement for an exchange‐traded future to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the future and that it is at least equal to the capital requirement for a future that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
The competent authorities may also allow the capital requirement for an OTC commodity derivatives contract of the type referred to in this point cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the derivatives contract and that it is at least equal to the capital requirement for the contract in question that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
Commodity swaps where the sides of the transaction are in different commodities are to be reported in the relevant reporting ladder for the maturity ladder approach.
However, the competent authorities may also prescribe that institutions calculate their deltas using a methodology specified by the competent authorities.
Other risks, apart from the delta risk, associated with commodity options shall be safeguarded against.
The competent authorities may allow the requirement for a written exchange‐traded commodity option to be equal to the margin required by the exchange if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement against an option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
The competent authorities may also allow the capital requirement for an OTC commodity option cleared by a clearing house recognised by them to be equal to the margin required by the clearing house if they are fully satisfied that it provides an accurate measure of the risk associated with the option and that it is at least equal to the capital requirement for an OTC option that would result from a calculation made using the method set out in the remainder of this Annex or applying the internal models method described in Annex V.
In addition they may allow the requirement on a bought exchange‐traded or OTC commodity option to be the same as that for the commodity underlying it, subject to the constraint that the resulting requirement does not exceed the market value of the option. The requirement for a written OTC option shall be set in relation to the commodity underlying it.
Maturity band(1) | Spread rate (in %)(2) |
---|---|
0 ≤ 1 month | 1,5 |
> 1 ≤ 3 months | 1,5 |
> 3 ≤ 6 months | 1,5 |
> 6 ≤ 12 months | 1,5 |
> 1 ≤ 2 years | 1,5 |
> 2 ≤ 3 years | 1,5 |
> 3 years | 1,5 |
positions in contracts maturing on the same date; and
positions in contracts maturing within 10 days of each other if the contracts are traded on markets which have daily delivery dates.
the sum of the matched long and short positions, multiplied by the appropriate spread rate as indicated in the second column of Table 1 to point 13 for each maturity band and by the spot price for the commodity;
the matched position between two maturity bands for each maturity band into which an unmatched position is carried forward, multiplied by 0,6 % (carry rate) and by the spot price for the commodity; and
the residual unmatched positions, multiplied by 15 % (outright rate) and by the spot price for the commodity.
15 % of the net position, long or short, multiplied by the spot price for the commodity; and
3 % of the gross position, long plus short, multiplied by the spot price for the commodity.
undertake significant commodities business;
have a diversified commodities portfolio; and
are not yet in a position to use internal models for the purpose of calculating the capital requirement on commodities risk in accordance with Annex V.
Precious metals (except gold) | Base metals | Agricultural products (softs) | Other, including energy products | |
---|---|---|---|---|
Spread rate ( %) | 1,0 | 1,2 | 1,5 | 1,5 |
Carry rate ( %) | 0,3 | 0,5 | 0,6 | 0,6 |
Outright rate ( %) | 8 | 10 | 12 | 15 |
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