Article 383u
Correlations across buckets for reference credit spread risk
1.
The cross-bucket correlations for reference credit spread delta risk and reference credit spread vega risk shall be the following:
Table 1
|
1, 2 and 12 |
3 and 14 |
4 and 15 |
5 and 16 |
6 and 17 |
7 and 18 |
8 and 19 |
9 and 10 |
20 |
11 |
19 |
|
|
1, 2, and 12 |
100 % |
75 % |
10 % |
20 % |
25 % |
20 % |
15 % |
10 % |
0 % |
45 % |
45 % |
|
3 and 14 |
|
100 % |
5 % |
15 % |
20 % |
15 % |
10 % |
10 % |
0 % |
45 % |
45 % |
|
4 and 15 |
|
|
100 % |
5 % |
15 % |
20 % |
5 % |
20 % |
0 % |
45 % |
45 % |
|
5 and 16 |
|
|
|
100 % |
20 % |
25 % |
5 % |
5 % |
0 % |
45 % |
45 % |
|
6 and 17 |
|
|
|
|
100 % |
25 % |
5 % |
15 % |
0 % |
45 % |
45 % |
|
7 and 18 |
|
|
|
|
|
100 % |
5 % |
20 % |
0 % |
45 % |
45 % |
|
8 and 19 |
|
|
|
|
|
|
100 % |
5 % |
0 % |
45 % |
45 % |
|
9 and 10 |
|
|
|
|
|
|
|
100 % |
0 % |
45 % |
45 % |
|
20 |
|
|
|
|
|
|
|
|
100 % |
0 % |
0 % |
|
11 |
|
|
|
|
|
|
|
|
|
100 % |
75 % |
|
19 |
|
|
|
|
|
|
|
|
|
|
100 % |