Article 383w Correlations across buckets for equity risk

The cross-bucket correlation parameter for equity delta and vega risk shall be set at:

15 %, where the two buckets fall within buckets 1 to 10 in Article 383v(1), Table 1;

75 %, where the two buckets are buckets 12 and 13 in Article 383v(1), Table 1;

45 %, where one of the buckets is bucket 12 or 13 in Article 383v(1), Table 1, and the other bucket falls within buckets 1 to 10 in Article 383v(1), Table 1;

0 %, where one of the two buckets is bucket 11 in Article 383v(1), Table 1.