BWG CRR | Bankwesengesetz & Capital Requirements Regulation, Band 2

Art 355-361

Artikel 355 Wahl der Methode für das Warenpositionsrisiko

Vorbehaltlich der Artikel 356 bis 358 berechnen die Institute die Eigenmittelanforderung für das Warenpositionsrisiko anhand einer der in den Artikeln 359, 360 oder 361 festgelegten Methoden.

Question ID: 2014_940 Verwendung zweier unterschiedlicher Methoden für das Warenpositionsrisiko ist zulässig Regulation (EU) No 575/2013 (CRR) does not seem to exclude the possibility of using two different methods for calculating own fund requirements for commodities risk.

However, it must be highlighted that in order to apply the „extended maturity ladder approach“ in Article 361 CRR, a series of conditions must be met. These conditions refer to certain characteristics which regard to the whole commodities portfolio of the financial institution, basically: undertaking significant commodities business and having an appropriately diversified commodities portfolio. Fulfilling these conditions, what allows institutions to qualify for the use of this method, and then, applying this method only to a portion of the commodities portfolio does not seem to be in line with the spirit of the regulation. Therefore, it would not be consist...