in force 2025-01-01 INSERTED+801 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unknown (an inserted provision states its own application date only in prose)
Article 383x is a newly added provision setting out risk weight buckets for commodity risk, listing thirteen numbered buckets each with a bucket name and an associated risk weight percentage for commodity spot price delta sensitivities.
It also sets a separate risk weight of 100% for commodity vega risk.
Cited: Art. 383x, v2
text before / after
inserted text (02013R0575-20250101)
Article 383x Risk weight buckets for commodity risk 1. The risk weights for the delta sensitivities to commodity spot price risk factors shall be the same for all commodity risk exposures within each bucket in Table 1 and shall be the following: Table 1 Bucket number Bucket name Risk weight for commodity spot price 1 Energy — solid combustibles 30 % 2 Energy — liquid combustibles 35 % 3 Energy — electricity 60 % 4 Energy — EU ETS carbon trading 40 % 5 Energy — non-EU ETS carbon trading 60 % 6 Freight 80 % 7 Metals — non-precious 40 % 8 Gaseous combustibles 45 % 9 Precious metals, including gold 20 % 10 Grains and oilseed 35 % 11 Livestock and dairy 25 % 12 Softs and other agricultural commodities 35 % 13 Other commodity 50 % 2. The risk weights for commodity vega risk shall be set at 100 %.