Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
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Article 325at Intra-bucket correlations for commodity risk

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:

where

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 combustibles

55