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 = ρkl(commodity) · ρkl(tenor) · ρkl(basis)
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:
Energy - solid combustibles
Energy - liquid combustibles
Energy - electricity and carbon trading
Metals – non-precious
Precious metals (including gold)
Grains and oilseed
Livestock and dairy
Softs and other agricultural commodities
4. Notwithstanding paragraph 1, the following provisions apply:
(a) two risk factors that are allocated to bucket 3 in Table 10 and that concern electricity which is generated in different regions or is delivered at different periods under the contractual agreement shall be considered distinct commodity risk factors;
(b) two risk factors that are allocated to bucket 4 in Table 10 and that concern freight where the freight route or week of delivery differ shall be considered distinct commodity risk factors.