Art. 383r

in force 2025-01-01 INSERTED+592 −0§

Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795

applies from: unknown (an inserted provision states its own application date only in prose)

Article 383r is a newly inserted provision that sets out a table of cross-bucket correlations to be used for counterparty credit spread delta risk, assigning percentage correlation values between each pair of buckets.

Cited: Art. 383r, v2

Article 383r
Correlations across buckets for counterparty credit spread risk
The cross-bucket correlations for counterparty credit spread delta risk shall be the following:
Table 1
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 %

in force 2024-07-09 INSERTED§

Amended by Regulation (EU) 2024/1623 32024R1623

applies from: unknown

Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.

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