Version in force , Inserted +960 −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 383u is a newly inserted provision that sets out a table of cross-bucket correlation percentages to be used for reference credit spread delta risk and reference credit spread vega risk.
It also adds a rule stating that the correlation values from that table are to be divided by 2 when applied between a bucket from the group of buckets 1 to 10 and a bucket from the group of buckets 12 to 18.
Cited: Art. 383u, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
Article 383u 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.