commodity delta risk factors

Defined in Article 325p, Capital Requirements Regulation (CRR)

Definitions over time (1)

1. 27/06/2019 – today applies on 12/11/2026 Article 325p, Capital Requirements Regulation (CRR) Scope: Article 325w

   The commodity delta risk factors to be applied by institutions to commodity sensitive instruments shall be all the commodity spot prices per commodity type and per each of the following maturities: 0,25 years, 0,5 years, 1 year, 2 years, 3 years, 5 years, 10 years, 15 years, 20 years, 30 years. Institutions shall only consider two commodity prices of the same type of commodity, and with the same maturity to constitute the same risk factor where the set of legal terms regarding the delivery location are identical.

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