+Article 325aj Correlations across buckets for credit spread risk for non-securitisations

Article 325aj Correlations across buckets for credit spread risk for non-securitisations

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:

▼M17

γbc (rating) shall be equal to:
(a) 

1, where buckets b and c are buckets 1 to 17 and both 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;

(b) 

1, where either bucket b or c is bucket 18;

(c) 

1, where bucket b or c is bucket 19 and the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;

(d) 

1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %;

▼M8

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:

▼M12



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 and 10

18

19

20

1, 2 and 11

 

75 %

10 %

20 %

25 %

20 %

15 %

10 %

0 %

45 %

45 %

3 and 12

 

 

5 %

15 %

20 %

15 %

10 %

10 %

0 %

45 %

45 %

4 and 13

 

 

 

5 %

15 %

20 %

5 %

20 %

0 %

45 %

45 %

5 and 14

 

 

 

 

20 %

25 %

5 %

5 %

0 %

45 %

45 %

6 and 15

 

 

 

 

 

25 %

5 %

15 %

0 %

45 %

45 %

7 and 16

 

 

 

 

 

 

5 %

20 %

0 %

45 %

45 %

8 and 17

 

 

 

 

 

 

 

5 %

0 %

45 %

45 %

9 and 10

 

 

 

 

 

 

 

 

0 %

45 %

45 %

18

 

 

 

 

 

 

 

 

 

0 %

0 %

19

 

 

 

 

 

 

 

 

 

 

75 %

20

 

 

 

 

 

 

 

 

 

 

 

▼M8

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards