Article 383r
Correlations across buckets for counterparty credit spread risk
The cross-bucket correlations for counterparty credit spread delta risk shall be the following:
Table 1
|
1, 2, 3, 13 and 14 |
4 and 15 |
5 and 16 |
6 and 17 |
7 and 18 |
8 and 19 |
9 and 10 |
11 and 20 |
12 and 21 |
|
|
1, 2, 3, 13 and 14 |
100 % |
10 % |
20 % |
25 % |
20 % |
15 % |
10 % |
0 % |
45 % |
|
4 and 15 |
|
100 % |
5 % |
15 % |
20 % |
5 % |
20 % |
0 % |
45 % |
|
5 and 16 |
|
|
100 % |
20 % |
25 % |
5 % |
5 % |
0 % |
45 % |
|
6 and 17 |
|
|
|
100 % |
25 % |
5 % |
15 % |
0 % |
45 % |
|
7 and 18 |
|
|
|
|
100 % |
5 % |
20 % |
0 % |
45 % |
|
8 and 19 |
|
|
|
|
|
100 % |
5 % |
0 % |
45 % |
|
9 and 10 |
|
|
|
|
|
|
100 % |
0 % |
45 % |
|
11 and 20 |
|
|
|
|
|
|
|
100 % |
0 % |
|
12 and 21 |
|
|
|
|
|
|
|
|
100 % |