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.