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Directive 2006/49/EC of the European Parliament and of the Council (repealed)Show full title
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and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)
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- Directives originating from the EU
- 2006 No. 49
- ANNEX V
- Commodity risk
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- Revised 01/01/20140.44 MB
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- Revised 20/03/20080.26 MB
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Commodity risk
The risk‐measurement system shall use a separate risk factor at least for each commodity in which the institution holds significant positions. The risk‐measurement system must also capture the risk of less than perfectly correlated movements between similar, but not identical, commodities and the exposure to changes in forward prices arising from maturity mismatches. It shall also take account of market characteristics, notably delivery dates and the scope provided to traders to close out positions.
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