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Text applicable on 9 Jan 2024Consolidated version of 9 Jan 2024Earlier versionUpcoming changefrom 9 Jul 2024Unofficial text · authentic on EUR-Lex (opens in a new tab)

CRR Article 361 — as applicable on 9 Jan 2024 (version of 9 Jan 2024)

Upcoming changeThis provision is amended or removed from 1 Jan 2025.View that version

Article 361

Extended maturity ladder approach

Amendment details· last amended 25 Dec 2019
Versions of this provision:28 Jun 201325 Dec 20191 Jan 2025

Last amended 25 Dec 2019 by Regulation (EU) 2019/2033 of 27 November 2019.

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Institutions may use the minimum spread, carry and outright rates set out in the following Table 2 instead of those indicated in Article 359 provided that the institutions:

(a)

undertake significant commodities business;

(b)

have an appropriately diversified commodities portfolio;

(c)

are not yet in a position to use internal models for the purpose of calculating the own funds requirement for commodities risk.

Table 2

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

Institutions shall notify the use they make of this Article to their competent authorities together with evidence of their efforts to implement an internal model for the purpose of calculating the own funds requirement for commodities risk.