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Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance article 383r CELEX: 02013R0575-20250629 Correlations across buckets for counterparty credit spread risk
The cross-bucket correlations for counterparty credit spread delta risk shall be the following:
Table 1 Bucket 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 % |