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 %.