The cross-bucket correlations for counterparty credit spread delta risk shall be the following:
Bucket | 1, 2, 3, 13 and 14 | 4 and 15 | 5 and 16 | 6 and 17 | 7 and 18 | 8 and 19 | 9 and 10 | 11 and 20 | 12 and 21 |
1, 2, 3, 13 and 14 | 100 % | 10 % | 20 % | 25 % | 20 % | 15 % | 10 % | 0 % | 45 % |
4 and 15 | 100 % | 5 % | 15 % | 20 % | 5 % | 20 % | 0 % | 45 % | |
5 and 16 | 100 % | 20 % | 25 % | 5 % | 5 % | 0 % | 45 % | ||
6 and 17 | 100 % | 25 % | 5 % | 15 % | 0 % | 45 % | |||
7 and 18 | 100 % | 5 % | 20 % | 0 % | 45 % | ||||
8 and 19 | 100 % | 5 % | 0 % | 45 % | |||||
9 and 10 | 100 % | 0 % | 45 % | ||||||
11 and 20 | 100 % | 0 % | |||||||
12 and 21 | 100 % |