Article 325aj

Description
Correlations across buckets for credit spread risk for non- securitisations
Main content

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
Bucket1, 2 and 113 and 124 and 135 and 146 and 157 and 168 and 179
1, 2 and 11 75 %10 %25 %25 %20 %15 %10 %
3 and 12  5 %15 %20 %15 %10 %10 %
4 and 13   5 %15 %20 %5 %20 %
5 and 14    20 %25 %5 %5 %
6 and 15     25 %5 %15 %
7 and 16      5 %20 %
8 and 17       5 %
9       —