The correlation parameter γ bc that applies to the aggregation of sensitivities between different buckets shall be set as follows:
γ bc = γ bc (rating) · γ bc (sector)
where:
γ bc (rating) shall be equal to 1 where the two buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6), otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3; and
γ bc (sector) shall be equal to 1 where the two buckets belong to the same sector, and otherwise shall be equal to the corresponding percentage set out in Table 5:
| Table 5 | ||||||||
| Bucket | 1, 2 and 11 | 3 and 12 | 4 and 13 | 5 and 14 | 6 and 15 | 7 and 16 | 8 and 17 | 9 |
|---|---|---|---|---|---|---|---|---|
| 1, 2 and 11 | 75 % | 10 % | 20 % | 25 % | 20 % | 15 % | 10 % | |
| 3 and 12 | 5 % | 15 % | 20 % | 15 % | 10 % | 10 % | ||
| 4 and 13 | 5 % | 15 % | 20 % | 5 % | 20 % | |||
| 5 and 14 | 20 % | 25 % | 5 % | 5 % | ||||
| 6 and 15 | 25 % | 5 % | 15 % | |||||
| 7 and 16 | 5 % | 20 % | ||||||
| 8 and 17 | 5 % | |||||||
| 9 | —] ] | |||||||
Textual Amendments
F1Inserted by Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (Text with EEA relevance).