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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 383u

Article 383u Correlations across buckets for reference credit spread risk

official text, verbatim

1

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

Table 1

Bucket1, 2 and 123 and 144 and 155 and 166 and 177 and 188 and 199 and 10201119
1, 2, and 12100 %75 %10 %20 %25 %20 %15 %10 %0 %45 %45 %
1(3)
3 and 14100 %5 %15 %20 %15 %10 %10 %0 %45 %45 %
1(4)
4 and 15100 %5 %15 %20 %5 %20 %0 %45 %45 %
1(5)
5 and 16100 %20 %25 %5 %5 %0 %45 %45 %
1(6)
6 and 17100 %25 %5 %15 %0 %45 %45 %
1(7)
7 and 18100 %5 %20 %0 %45 %45 %
1(8)
8 and 19100 %5 %0 %45 %45 %
1(9)
9 and 10100 %0 %45 %45 %
1(20)
20100 %0 %0 %
1(11)
11100 %75 %
1(19)
19100 %
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.