Article 325aj
Correlations across buckets for credit spread risk for non-securitisations
The correlation parameter γbc that applies to the aggregation of sensitivities between different buckets shall be set as follows:
γbc = γbc
(rating) · γbc
(sector)
where:
γbc
(rating) shall be equal to:
(a)
1, where buckets b and c are buckets 1 to 17 and both buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6); otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3;
(c)
γbc
(sector) shall be equal to 1 where the two buckets belong to the same sector, and otherwise shall be equal to the corresponding percentage set out in Table 5:
Table 5
|
1, 2 and 11 |
3 and 12 |
4 and 13 |
5 and 14 |
6 and 15 |
7 and 16 |
8 and 17 |
9 and 10 |
18 |
19 |
20 |
|
|
1, 2 and 11 |
|
75 % |
10 % |
20 % |
25 % |
20 % |
15 % |
10 % |
0 % |
45 % |
45 % |
|
3 and 12 |
|
|
5 % |
15 % |
20 % |
15 % |
10 % |
10 % |
0 % |
45 % |
45 % |
|
4 and 13 |
|
|
|
5 % |
15 % |
20 % |
5 % |
20 % |
0 % |
45 % |
45 % |
|
5 and 14 |
|
|
|
|
20 % |
25 % |
5 % |
5 % |
0 % |
45 % |
45 % |
|
6 and 15 |
|
|
|
|
|
25 % |
5 % |
15 % |
0 % |
45 % |
45 % |
|
7 and 16 |
|
|
|
|
|
|
5 % |
20 % |
0 % |
45 % |
45 % |
|
8 and 17 |
|
|
|
|
|
|
|
5 % |
0 % |
45 % |
45 % |
|
9 and 10 |
|
|
|
|
|
|
|
|
0 % |
45 % |
45 % |
|
18 |
|
|
|
|
|
|
|
|
|
0 % |
0 % |
|
19 |
|
|
|
|
|
|
|
|
|
|
75 % |
|
20 |
|
|
|
|
|
|
|
|
|
|
|