in force 2025-01-01 INSERTED+564 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unknown (an inserted provision states its own application date only in prose)
This is a new provision setting the cross-bucket correlation parameter for commodity delta risk at 20% when both buckets fall within buckets 1 to 12 of the referenced table, and at 0% when one of the two buckets is bucket 13.
It also sets the cross-bucket correlation parameter for commodity vega risk using the same 20% and 0% values under the same bucket conditions.
Cited: Art. 383z, v2
text before / after
inserted text (02013R0575-20250101)
Article 383z Correlations across buckets for commodity risk 1. The cross-bucket correlation parameter for commodity delta risk shall be set at: (a) 20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1; (b) 0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1. 2. The cross-bucket correlation parameter for commodity vega risk shall be set at: (a) 20 %, where the two buckets fall within buckets 1 to 12 in Article 383x(1), Table 1; (b) 0 %, where one of the two buckets is bucket 13 in Article 383x(1), Table 1.