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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 383u CELEX: 02013R0575-20250629 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 Bucket 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 %
2. By way of derogation from paragraph 1, the cross-bucket correlation values calculated in that paragraph shall be divided by 2 for correlations between a bucket from the group of buckets 1 to 10 and a bucket from the group of buckets 12 to 18. |