• The correlation $\rho$ between a counterparty credit spread and the systematic factor that drives all indices is set to 50%.
• The correlation between credit spreads of any two counterparties is ${\rho }^2=25\%$.
• The correlation ${\rho }_{hc}$ between the credit spread of counterparty $c$ and the credit spread of it’s single-name hedge $h$ are set as follows:

  Single-name hedge $h$ of counterparty $c$	Value of ${\rho }_{hc}$
  Reference counterparty $c$ directly	100%
  Has legal relation with counterparty $c$	80%
  Shares sector or region with counterparty $c$	50%

Excel

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