1. For the purposes of this Article, any two commodities shall be considered distinct commodities where there exist in the market two contracts that are differentiated only by the underlying commodity to be delivered against each contract.
2. The correlation parameter ρkl between two sensitivities WSk and WSl within the same bucket shall be set as follows:
ρkl (commodity) shall be equal to 1 where the two commodities of sensitivities k and l are identical, otherwise it shall be equal to the intra-bucket correlations in Table 10;
ρkl (tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 99 %; and
ρkl (basis) shall be equal to 1 where the two sensitivities are identical in the delivery location of a commodity, otherwise it shall be equal to 99,90 %.
3. The intra-bucket correlations ρkl(commodity) are:
Table 10
|
Bucket number |
Bucket name |
Correlation ρkl (commodity) |
|---|---|---|
|
1 |
Energy - solid combustibl |