temp5

	B	C	D	E	F	G	H	I	J	K
1
2	IDM calc
3
4	German bonds			BOBL	BUND	Weights
5			BOBL	1	0.9123036915	0.5202020202
6			BUND	0.9123036915	1	0.4797979798
7
8		IDM	1.022634194
9
10	US bonds			US10	US20	Weights
11			US10	1	0.9240228975	0.4949494949
12			US20	0.9240228975	1	0.5050505051
13
14		IDM	1.019551117
15
16	Developed bonds
17
18		Original weight	Scalar	Scaled	Normalised
19	German	0.6578947368	0.6727856539	0.6585739848	0.6446625176
20	US bonds	0.3421052632	0.3487938033	0.3414260152	0.3342138615
21
22	New weights (bold have changed)
23		Instrument level	Level3	Level2	Level1	Weights
24	BOBL	0.5202020202	0.6585739848	0.4292682927	0.402815663	0.05923955205
25	BUND	0.4797979798	0.6585739848	0.4292682927	0.402815663	0.05463842179
26	CORN	1	1	0.4797979798	0.2898509052	0.1390698788
27	CRUDE_W	1	0.5353535354	0.5202020202	0.2898509052	0.08072115558
28	EDOLLAR	1	1	1	0.3073334318	0.3073334318
29	GAS_US	1	0.4646464646	0.5202020202	0.2898509052	0.07005987086
30	KR10	0.4797979798	1	0.5707317073	0.402815663	0.1103053977
31	KR3	0.5202020202	1	0.5707317073	0.402815663	0.1195942733
32	US10	0.4949494949	0.3414260152	0.4292682927	0.402815663	0.02922083723
33	US20	0.5050505051	0.3414260152	0.4292682927	0.402815663	0.02981718086
34
35				KR3	KR10	Weights
36	EM bonds		KR3	1	0.8526674479	0.4797979798
37			KR10	0.8526674479	1	0.5202020202
38
39		IDM	1.038934274
40
41
42	Developed bonds
43				BOBL	BUND	US10	US20	Weights
44			BOBL	1	0.9123036915	0.6308435574	0.625894551	0.3425915173
45			BUND	0.9123036915	1	0.7587645664	0.787943017	0.3159824675
46			US10	0.6308435574	0.7587645664	1	0.9240228975	0.1689886338
47			US20	0.625894551	0.787943017	0.9240228975	1	0.1724373814
48
49		IDM	1.090590442
50
51		Original weight	Scalar	Scaled	Normalised
52	EM bonds	0.5707317073	1.038934274	0.5929527318	0.5588049287
53	Developed bonds	0.4292682927	1.090590442	0.4681558972	0.4411950713
54
55
56	Commodities: energies			CRUDE_W	GAS	Weights
57			CRUDE_W	1	0.2180837217	0.5353535354
58			GAS	0.2180837217	1	0.4646464646
59
60		IDM	1.27932432
61
62		Original weight	Scalar	Scaled	Normalised
63	Energies	0.5202020202	1.27932432	0.6655070956	0.5810740822
64	Corn	0.4797979798	1	0.4797979798	0.4189259178
65
66	New weights (bold have changed)
67		Instrument level	Level3	Level2	Level1	Weights
68	BOBL	0.5202020202	0.6585739848	0.4411950713	0.402815663	0.06088546215
69	BUND	0.4797979798	0.6585739848	0.4411950713	0.402815663	0.05615649422
70	CORN	1	1	0.4189259178	0.2898509052	0.1214260565
71	CRUDE_W	1	0.5353535354	0.5810740822	0.2898509052	0.09016683822
72	EDOLLAR	1	1	1	0.3073334318	0.3073334318
73	GAS_US	1	0.4646464646	0.5810740822	0.2898509052	0.07825801051
74	KR10	0.4797979798	1	0.5588049287	0.402815663	0.1080003076
75	KR3	0.5202020202	1	0.5588049287	0.402815663	0.1170950703
76	US10	0.4949494949	0.3414260152	0.4411950713	0.402815663	0.03003270818
77	US20	0.5050505051	0.3414260152	0.4411950713	0.402815663	0.0306456206
78
79
80	Asset classes
81
82	Bonds			BOBL	BUND	US10	US20	KR3	KR10	Weight
83			BOBL	1	0.9123036915	0.6308435574	0.625894551	0.280581902	0.3602594734	0.1511496889
84			BUND	0.9123036915	1	0.7587645664	0.787943017	0.355364185	0.4612367602	0.1394099073
85			US10	0.6308435574	0.7587645664	1	0.9240228975	0.4159502148	0.5399586248	0.07455695232
86			US20	0.625894551	0.787943017	0.9240228975	1	0.4021167004	0.540198085	0.07607852279
87			KR3	0.280581902	0.355364185	0.4159502148	0.4021167004	1	0.8526674479	0.2906914528
88			KR10	0.3602594734	0.4612367602	0.5399586248	0.540198085	0.8526674479	1	0.2681134759
89
90		IDM	1.240792144
91
92	Commodities			CORN	CRUDE_W	GAS_US
93			CORN	1	0.06637433395	-0.04918474461	0.4189259178
94			CRUDE_W	0.06637433395	1	0.2180837217	0.3110800643
95			GAS_US	-0.04918474461	0.2180837217	1	0.269994018
96
97		IDM	1.605458049
98
99		Original weight	Scalar	Scaled	Normalised
100	Bonds	0.402815663	1.240792144	0.4998105102	0.3927822829