Version in force , Inserted +1,383 −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 383t is a newly inserted provision that sets out correlation parameters for intra-bucket reference credit spread risk, defining how the correlation factor between two sensitivities is determined based on whether vertices, names, and bucket assignments match, distinguishing between sector buckets 1 to 10, 12 to 18 and 20 in paragraph 1 and buckets 11 and 19 in paragraph 2.
Cited: Art. 383t, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
Article 383t Intra-bucket correlations for reference credit spread risk 1. Between two sensitivities WSk and WSl, resulting from risk exposures assigned to sector buckets 1 to 10, 12 to 18 and 20 of Article 383s(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 10, are both in buckets 12 to 18, or are both in bucket 20, otherwise it shall be equal to 80 %. 2. Between two sensitivities WSk and WSl, resulting from risk exposures assigned to sector buckets 11 and 19, 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 11 or both in bucket 19, otherwise it shall be equal to 80 %.