Version in force , Inserted +1,369 −0§
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
This is a newly inserted article setting out how the correlation parameter between two sensitivities is determined for counterparty credit spread risk within a bucket, distinguishing rules for sector buckets 1 to 11 and 13 to 20 from those for buckets 12 and 21.
For buckets 1 to 11 and 13 to 20, the correlation depends on whether the vertices are identical, whether the names are identical or legally related, and whether both names fall within the same bucket range, while for buckets 12 and 21 it depends on whether vertices, names and index series match.
Cited: Art. 383q, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
Article 383q Intra-bucket correlations for counterparty credit spread risk 1. Between two sensitivities WSk and WSl, resulting from risk exposures assigned to sector buckets 1 to 11 and 13 to 20, as set out in Article 383p(1), Table 1, the correlation parameter ρkl shall be set as follows: where: shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; shall be equal to 1 where the two names of sensitivities k and l are identical, 90 % if the two names are distinct but legally related, otherwise it shall be equal to 50 %; shall be equal to 1 where the two names are both in buckets 1 to 11 or are both in buckets 13 to 20, otherwise it shall be equal to 80 %. 2. Between two sensitivities WSk and WSl resulting from risk exposures assigned to sector buckets 12 and 21, the correlation parameter ρkl shall be set as follows: where: shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90 %; shall be equal to 1 where the two names of sensitivities k and l are identical and the two indices are of the same series, 90 % if the two indices are the same but of distinct series, otherwise it shall be equal to 80 %; shall be equal to 1 where the two names are both in bucket 12 or both in bucket 21, otherwise it shall be equal to 80 %.