Sensitivities-Based Method: Definition of Delta Risk Buckets, Risk Weights and Correlations

For calculating weighted sensitivities, the risk weights for each bucket are set out in Table 11: Delta commodity buckets and risk weights Table 11 Bucket number Commodity bucket Examples of commodities allocated to each commodity bucket (non-exhaustive) Risk weight 1 Energy - solid combustibles Coal, charcoal, wood pellets, uranium 30% 2 Energy - liquid combustibles Light-sweet crude oil; heavy crude oil; West Texas Intermediate (WTI) crude; Brent crude; etc (ie various types of crude oil) Bioethanol; biodiesel; etc (ie various biofuels) Propane; ethane; gasoline; methanol; butane; etc (ie various petrochemicals) Jet fuel; kerosene; gasoil; fuel oil; naphtha; heating oil; diesel etc (ie various refined fuels) 35% 3 Energy - electricity and carbon trading Spot electricity; day-ahead electricity; peak electricity; off-peak electricity (ie various electricity types) Certified emissions reductions; in-delivery month EU allowance; Regional Greenhouse Gas Initiative CO2 allowance; renewable energy certificates; etc (ie various carbon trading emissions) 60% 4 Freight Capesize; Panamax; Handysize; Supramax (ie various types of dry-bulk route) Suezmax; Aframax; very large crude carriers (ie various liquid-bulk/gas shipping route) 80% 5 Metals — non-precious Aluminium; copper; lead; nickel; tin; zinc (ie various base metals) Steel billet; steel wire; steel coil; steel scrap; steel rebar; iron ore; tungsten; vanadium; titanium; tantalum (ie steel raw materials) Cobalt; manganese; molybdenum (ie various minor metals) 40% 6 Gaseous combustibles Natural gas; liquefied natural gas 45% 7 Precious metals (including gold) Gold; silver; platinum; palladium 20% 8 Grains and oilseed Corn; wheat; soybean seed; soybean oil; soybean meal; oats; palm oil; canola; barley; rapeseed seed; rapeseed oil; rapeseed meal; red bean; sorghum; coconut oil; olive oil; peanut oil; sunflower oil; rice 35% 9 Livestock and dairy Live cattle; feeder cattle; hog; poultry; lamb; fish; shrimp; milk; whey; eggs; butter; cheese 25% 10 Softs and other agriculturals Cocoa; arabica coffee; robusta coffee; tea; citrus juice; orange juice; potatoes; sugar; cotton; wool; lumber;pulp; rubber 35% 11 Other commodity Potash; fertilizer; phosphate rocks (ie various industrial materials) Rare earths; terephthalic acid; flat glass 50%