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:
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 %.