Division C 110.01 – CT. Details of the Model.F1

The number of modelling factors at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:

1. (a)

   1;

2. (b)

   2;

3. (c)

   More than 2.

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010.

The source of LGDs at the overall Correlation Trading Model level shall be reported. The answer shall be one of the following:

1. (a)

   Market Convention;

2. (b)

   LGD used in IRB;

3. (c)

   Other (please specify).

Column 020 shall be used in case the institution wants to provide clarification on the answer given in column 010. In case option (c) was selected in column 010, the institution is expected to provide details in this column.