• For counterparty credit spread delta risk, cross-bucket correlations ${\gamma }_{bc}$ applying within the same credit quality category (ie either IG or HY&NR) are given by:

  Bucket	1	2	3	4	5	6
  1	100%	10%	20%	25%	20%	15%
  2	–	100%	5%	15%	20%	5%
  3	–	–	100%	20%	25%	5%
  4	–	–	–	100%	25%	5%
  5	–	–	–	–	100%	5%
  6	–	–	–	–	–	100%

• For cross-bucket correlations ${\gamma }_{bc}$ applying across IG and HY&NR categories, these correlations are divided by 2.
• For cross-bucket correlations ${\gamma }_{bc}$ applying across bucket 13 and another bucket, ${\gamma }_{bc}=0\%$.

Excel

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