1.The cross-bucket correlations for reference credit spread delta risk and reference credit spread vega risk shall be the following:
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.