Art. 383z · Correlations across buckets for commodity risk

Version in force 1 January 2025, Inserted +564 −0§

Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)

Applies from: not readable (an inserted provision states its own application date only in prose) why

Explanation, written by a model and checked against the cited text

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 (external, EUR-Lex)

v1 is the previous version, v2 this one.

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.