Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
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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 1 where the two buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 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; and

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

1, 2 and 11

 

75 %

10 %

20 %

25 %

20 %

15 %

10 %

3 and 12

   

5 %

15 %

20 %

15 %

10 %

10 %

4 and 13

     

5 %

15 %

20 %

5