I have problem to understand volatility matrix on page 9 section 2.3 The Yield-Adjustment Term in the following article: Volatility matrix in Nelson-Siegel. It is volatility matrix in AFNS model. Why does volatility matrix in this general form: $\Sigma =\bigl(\begin{smallmatrix} \sigma _{1,1} & \sigma _{1,2} & \sigma _{1,3}\\ \sigma _{2,1} & \sigma _{2,2} & \sigma _{2,3} \\ \sigma _{3,1} & \sigma _{3,2} & \sigma _{3,3} \end{smallmatrix}\bigr)$ can be changed to triangular volatility matrix: $\Sigma =\bigl(\begin{smallmatrix} \sigma _{1,1} & 0 & 0\\ \sigma _{2,1} & \sigma _{2,2} & 0 \\ \sigma _{3,1} & \sigma _{3,2} & \sigma _{3,3} \end{smallmatrix}\bigr)$
I understand how yield-adjustment term is derived, but then I do not understand simplification for volatility matrix.
Thanks for any advice.