Version in force , Inserted +592 −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
Article 383r is a newly inserted provision that sets out a table of cross-bucket correlations to be used for counterparty credit spread delta risk, assigning percentage correlation values between each pair of buckets.
Cited: Art. 383r, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
Article 383r 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 %