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Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance article 383x CELEX: 02013R0575-20250629 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 %. |