Version in force , Modified +362 −18§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
The definition of the rating component of the correlation parameter, γbc(rating), has been expanded from a single general rule into four separate lettered rules covering different bucket combinations.
The general rule about matching credit quality categories now applies specifically to buckets 1 to 17, and three new rules have been added addressing cases where one of the buckets is bucket 18, bucket 19, or bucket 20, each setting the parameter to 1 or 50 percent depending on the credit quality step of the other bucket.
The sector component, γbc(sector), and the accompanying Table 5 of percentages remain unchanged between the two versions.
Cited: Art. 325aj, v2 (external, EUR-Lex) · Art. 325aj, v1 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 9 July 2024 02013R0575-20240709 → this version, in force 1 January 2025 02013R0575-20250101
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 1 where the two 17 and both buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6), 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; (b) 1, where either bucket b or c is bucket 18;
(c) 1, where bucket b or c is bucket 19 and
the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;
(d) 1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %;
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
Bucket 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