CRR — Regulation (EU) No 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation) · version 2026-06-26 · CELEX 32013R0575 · consolidated text, no legal effect (EUR-Lex)

CRR › Article 383r

Article 383r Correlations across buckets for counterparty credit spread risk

official text, verbatim

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)

4 and 15

100 %

5 %

15 %

20 %

5 %

20 %

0 %

45 %

(5)

5 and 16

100 %

20 %

25 %

5 %

0 %

45 %

(6)

6 and 17

100 %

25 %

5 %

15 %

0 %

45 %

(7)

7 and 18

100 %

5 %

20 %

0 %

45 %

(8)

8 and 19

100 %

5 %

0 %

45 %

(9)

9 and 10

100 %

0 %

45 %

(11)

11 and 20

100 %

0 %

(12)

12 and 21

100 %

ARTICLE

CRR art 383r Correlations across buckets for counterparty credit spread risk

reg/2013/575/art_383r

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Text: official, verbatim. Uses and counts are derived from Annex I references and the DPM 2.0 database of the release shown above. Version 2026-06-26. Source: 02013R0575 — EN — 26.06.2026 — 021.001.