FRB: Calibrating the Single-Counterparty Credit Limit between Systemically Important Financial Institutions - March 4, 2016

Calibrating the Single-Counterparty Credit Limit between Systemically Important Financial Institutions - March 4, 2016 - Accessible Version

Figure 1. Average Correlations 2007-2015: SIFI to SIFI and SIFI to non-SIFI

Correlation
Period	SIFI-SIFI	SIFI-non-SIFI
2007w50	0.720	0.493
2007w51	0.699	0.484
2007w52	0.698	0.484
2008w1	0.705	0.501
2008w2	0.695	0.502
2008w3	0.699	0.523
2008w4	0.689	0.512
2008w5	0.682	0.507
2008w9	0.662	0.489
2008w10	0.738	0.536
2008w11	0.715	0.528
2008w12	0.822	0.638
2008w13	0.800	0.620
2008w14	0.806	0.654
2008w15	0.808	0.660
2008w16	0.818	0.678
2008w17	0.818	0.676
2008w18	0.818	0.675
2008w19	0.819	0.677
2008w20	0.819	0.677
2008w21	0.821	0.680
2008w22	0.819	0.679
2008w23	0.815	0.678
2008w24	0.814	0.677
2008w25	0.809	0.676
2008w26	0.809	0.679
2008w27	0.806	0.675
2008w28	0.799	0.670
2008w29	0.795	0.668
2008w30	0.792	0.665
2008w31	0.785	0.660
2008w32	0.782	0.657
2008w33	0.777	0.651
2008w34	0.775	0.649
2008w35	0.774	0.649
2008w36	0.764	0.643
2008w37	0.768	0.596
2008w38	0.718	0.578
2008w39	0.696	0.538
2008w40	0.638	0.506
2008w41	0.546	0.443
2008w42	0.528	0.340
2008w43	0.518	0.332
2008w44	0.513	0.325
2008w45	0.496	0.323
2008w46	0.491	0.319
2008w47	0.488	0.332
2008w48	0.487	0.327
2008w49	0.483	0.307
2008w50	0.481	0.301
2008w51	0.482	0.311
2008w52	0.482	0.311
2009w1	0.482	0.312
2009w2	0.475	0.283
2009w3	0.475	0.284
2009w4	0.474	0.282
2009w5	0.471	0.279
2009w6	0.472	0.283
2009w7	0.472	0.280
2009w8	0.486	0.283
2009w9	0.470	0.277
2009w10	0.485	0.288
2009w11	0.500	0.304
2009w12	0.491	0.300
2009w13	0.478	0.293
2009w14	0.477	0.293
2009w15	0.477	0.294
2009w16	0.475	0.292
2009w17	0.470	0.289
2009w18	0.470	0.289
2009w19	0.484	0.294
2009w20	0.484	0.294
2009w21	0.484	0.295
2009w22	0.485	0.296
2009w23	0.483	0.295
2009w24	0.482	0.294
2009w25	0.483	0.296
2009w26	0.482	0.296
2009w27	0.482	0.296
2009w28	0.482	0.295
2009w29	0.485	0.299
2009w30	0.485	0.300
2009w31	0.485	0.301
2009w32	0.485	0.301
2009w33	0.488	0.306
2009w34	0.489	0.307
2009w35	0.489	0.306
2009w36	0.489	0.307
2009w37	0.490	0.308
2009w38	0.490	0.307
2009w39	0.490	0.307
2009w40	0.490	0.307
2009w41	0.490	0.307
2009w42	0.489	0.306
2009w43	0.489	0.306
2009w44	0.489	0.306
2009w45	0.489	0.306
2009w46	0.489	0.306
2009w47	0.489	0.306
2009w48	0.489	0.306
2009w49	0.489	0.307
2009w50	0.490	0.307
2009w51	0.489	0.307
2009w52	0.489	0.306
2010w1	0.489	0.306
2010w2	0.489	0.305
2010w3	0.489	0.307
2010w4	0.490	0.308
2010w5	0.489	0.307
2010w6	0.486	0.303
2010w7	0.487	0.302
2010w8	0.477	0.286
2010w9	0.478	0.287
2010w10	0.476	0.279
2010w11	0.474	0.275
2010w12	0.471	0.269
2010w13	0.471	0.268
2010w14	0.471	0.268
2010w15	0.471	0.267
2010w16	0.470	0.266
2010w17	0.470	0.264
2010w18	0.470	0.264
2010w19	0.472	0.267
2010w20	0.471	0.267
2010w21	0.473	0.269
2010w22	0.473	0.268
2010w23	0.474	0.269
2010w24	0.474	0.267
2010w25	0.477	0.270
2010w26	0.478	0.272
2010w27	0.478	0.272
2010w28	0.480	0.274
2010w29	0.480	0.274
2010w30	0.480	0.275
2010w31	0.481	0.275
2010w32	0.480	0.275
2010w33	0.454	0.263
2010w34	0.458	0.261
2010w35	0.431	0.259
2010w36	0.439	0.259
2010w37	0.490	0.287
2010w38	0.554	0.352
2010w39	0.569	0.357
2010w40	0.574	0.362
2010w41	0.584	0.363
2010w42	0.587	0.364
2010w43	0.592	0.354
2010w44	0.594	0.359
2010w45	0.600	0.372
2010w46	0.605	0.381
2010w47	0.604	0.375
2010w48	0.605	0.377
2010w49	0.606	0.377
2010w50	0.612	0.422
2010w51	0.614	0.423
2010w52	0.615	0.427
2011w1	0.620	0.437
2011w2	0.624	0.440
2011w3	0.623	0.444
2011w4	0.592	0.437
2011w5	0.630	0.453
2011w6	0.596	0.434
2011w7	0.573	0.410
2011w8	0.606	0.426
2011w9	0.633	0.447
2011w10	0.640	0.451
2011w11	0.646	0.453
2011w12	0.652	0.467
2011w13	0.665	0.483
2011w14	0.668	0.489
2011w15	0.618	0.499
2011w16	0.625	0.505
2011w17	0.631	0.505
2011w18	0.634	0.508
2011w19	0.649	0.523
2011w20	0.654	0.526
2011w21	0.652	0.523
2011w22	0.658	0.528
2011w23	0.660	0.529
2011w24	0.664	0.534
2011w25	0.656	0.522
2011w26	0.658	0.519
2011w27	0.667	0.525
2011w28	0.698	0.539
2011w29	0.681	0.520
2011w30	0.680	0.526
2011w31	0.684	0.528
2011w32	0.719	0.568
2011w33	0.704	0.559
2011w34	0.717	0.570
2011w35	0.702	0.556
2011w36	0.701	0.553
2011w37	0.710	0.566
2011w38	0.716	0.574
2011w39	0.707	0.575
2011w40	0.698	0.567
2011w41	0.707	0.572
2011w42	0.706	0.569
2011w43	0.700	0.568
2011w44	0.700	0.568
2011w45	0.700	0.566
2011w46	0.702	0.564
2011w47	0.713	0.572
2011w48	0.702	0.566
2011w49	0.729	0.585
2011w50	0.729	0.584
2011w51	0.726	0.581
2011w52	0.727	0.580
2012w1	0.728	0.581
2012w2	0.721	0.574
2012w3	0.721	0.574
2012w4	0.727	0.577
2012w5	0.731	0.574
2012w6	0.736	0.578
2012w7	0.738	0.577
2012w8	0.737	0.578
2012w9	0.737	0.578
2012w10	0.736	0.578
2012w11	0.736	0.577
2012w12	0.740	0.582
2012w13	0.741	0.586
2012w14	0.743	0.587
2012w15	0.744	0.583
2012w16	0.745	0.585
2012w17	0.748	0.578
2012w18	0.749	0.579
2012w19	0.749	0.578
2012w20	0.755	0.589
2012w21	0.753	0.584
2012w22	0.752	0.582
2012w23	0.754	0.585
2012w24	0.752	0.582
2012w25	0.752	0.581
2012w26	0.748	0.576
2012w27	0.749	0.577
2012w28	0.751	0.578
2012w29	0.749	0.572
2012w30	0.747	0.567
2012w31	0.750	0.569
2012w32	0.749	0.567
2012w33	0.749	0.566
2012w34	0.750	0.566
2012w35	0.750	0.566
2012w36	0.750	0.567
2012w37	0.751	0.570
2012w38	0.754	0.574
2012w39	0.755	0.576
2012w40	0.755	0.579
2012w41	0.757	0.581
2012w42	0.758	0.582
2012w43	0.757	0.582
2012w45	0.756	0.581
2012w46	0.757	0.580
2012w47	0.757	0.579
2012w48	0.757	0.579
2012w49	0.757	0.579
2012w50	0.757	0.578
2012w51	0.758	0.579
2012w52	0.758	0.580
2013w2	0.758	0.581
2013w3	0.758	0.581
2013w4	0.759	0.579
2013w5	0.759	0.579
2013w6	0.759	0.579
2013w7	0.760	0.577
2013w8	0.759	0.577
2013w9	0.759	0.576
2013w10	0.760	0.577
2013w11	0.760	0.577
2013w12	0.761	0.578
2013w13	0.761	0.579
2013w14	0.759	0.578
2013w15	0.759	0.577
2013w16	0.759	0.576
2013w17	0.759	0.577
2013w18	0.760	0.578
2013w19	0.759	0.577
2013w20	0.759	0.577
2013w21	0.760	0.578
2013w22	0.760	0.578
2013w23	0.761	0.579
2013w24	0.760	0.578
2013w25	0.763	0.586
2013w26	0.764	0.587
2013w27	0.763	0.587
2013w28	0.762	0.586
2013w29	0.763	0.587
2013w30	0.750	0.561
2013w31	0.762	0.568
2013w32	0.752	0.557
2013w33	0.765	0.571
2013w34	0.767	0.576
2013w35	0.762	0.565
2013w36	0.760	0.562
2013w37	0.766	0.559
2013w38	0.772	0.561
2013w39	0.770	0.562
2013w40	0.772	0.568
2013w41	0.782	0.572
2013w42	0.783	0.575
2013w43	0.782	0.573
2013w44	0.780	0.573
2013w45	0.774	0.569
2013w46	0.785	0.573
2013w47	0.743	0.545
2013w48	0.740	0.546
2013w49	0.748	0.549
2013w50	0.748	0.551
2013w51	0.748	0.551
2013w52	0.765	0.562
2014w1	0.766	0.564
2014w2	0.751	0.553
2014w3	0.754	0.566
2014w4	0.752	0.566
2014w5	0.746	0.571
2014w6	0.751	0.576
2014w7	0.760	0.580
2014w8	0.765	0.583
2014w9	0.768	0.585
2014w10	0.765	0.581
2014w11	0.766	0.584
2014w12	0.766	0.585
2014w13	0.759	0.587
2014w14	0.760	0.587
2014w15	0.765	0.593
2014w16	0.763	0.591
2014w17	0.766	0.593
2014w18	0.747	0.571
2014w19	0.746	0.563
2014w20	0.747	0.565
2014w21	0.743	0.561
2014w22	0.741	0.559
2014w23	0.747	0.571
2014w24	0.757	0.577
2014w25	0.753	0.578
2014w26	0.758	0.586
2014w27	0.763	0.597
2014w28	0.774	0.618
2014w29	0.758	0.615
2014w30	0.758	0.615
2014w31	0.760	0.623
2014w33	0.760	0.623
2014w34	0.763	0.626
2014w35	0.763	0.628
2014w36	0.758	0.617
2014w37	0.755	0.610
2014w38	0.749	0.605
2014w39	0.763	0.621
2014w40	0.763	0.622
2014w41	0.765	0.624
2014w42	0.769	0.624
2014w43	0.770	0.625
2014w44	0.769	0.624
2014w45	0.777	0.631
2014w46	0.778	0.630
2014w47	0.779	0.630
2014w48	0.782	0.632
2014w49	0.776	0.624
2014w50	0.779	0.625
2014w51	0.778	0.625
2014w52	0.781	0.630
2015w1	0.786	0.636
2015w2	0.785	0.636
2015w3	0.784	0.634
2015w4	0.783	0.641
2015w5	0.788	0.644
2015w6	0.791	0.647
2015w7	0.790	0.644
2015w8	0.794	0.646
2015w9	0.793	0.646
2015w10	0.792	0.645
2015w11	0.799	0.649
2015w12	0.797	0.653
2015w13	0.797	0.651
2015w14	0.795	0.649
2015w15	0.782	0.639
2015w16	0.784	0.640
2015w17	0.782	0.641
2015w18	0.781	0.643
2015w19	0.780	0.641
2015w20	0.777	0.635
2015w21	0.782	0.637
2015w22	0.716	0.530

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Figure 2. 90th Percentile Correlations 2007-2015: SIFI to SIFI and SIFI to Non-SIFI

Correlation
Period	SIFI-SIFI	SIFI-non-SIFI
2007w50	0.867	0.700
2007w51	0.840	0.685
2007w52	0.840	0.682
2008w1	0.844	0.691
2008w2	0.836	0.686
2008w3	0.831	0.696
2008w4	0.842	0.691
2008w5	0.837	0.686
2008w9	0.841	0.691
2008w10	0.884	0.746
2008w11	0.852	0.732
2008w12	0.927	0.823
2008w13	0.926	0.807
2008w14	0.923	0.825
2008w15	0.918	0.825
2008w16	0.923	0.835
2008w17	0.923	0.833
2008w18	0.923	0.832
2008w19	0.922	0.831
2008w20	0.922	0.831
2008w21	0.923	0.831
2008w22	0.918	0.830
2008w23	0.917	0.827
2008w24	0.915	0.825
2008w25	0.910	0.823
2008w26	0.909	0.823
2008w27	0.908	0.819
2008w28	0.907	0.813
2008w29	0.901	0.811
2008w30	0.896	0.809
2008w31	0.897	0.806
2008w32	0.895	0.802
2008w33	0.893	0.797
2008w34	0.893	0.796
2008w35	0.892	0.795
2008w36	0.891	0.794
2008w37	0.915	0.776
2008w38	0.911	0.756
2008w39	0.879	0.721
2008w40	0.858	0.697
2008w41	0.870	0.662
2008w42	0.857	0.596
2008w43	0.856	0.593
2008w44	0.855	0.589
2008w45	0.855	0.582
2008w46	0.855	0.579
2008w47	0.849	0.596
2008w48	0.849	0.590
2008w49	0.850	0.557
2008w50	0.844	0.551
2008w51	0.844	0.559
2008w52	0.843	0.556
2009w1	0.843	0.558
2009w2	0.838	0.520
2009w3	0.824	0.519
2009w4	0.822	0.517
2009w5	0.800	0.513
2009w6	0.801	0.514
2009w7	0.797	0.512
2009w8	0.808	0.509
2009w9	0.805	0.501
2009w10	0.821	0.510
2009w11	0.837	0.528
2009w12	0.837	0.518
2009w13	0.842	0.509
2009w14	0.828	0.507
2009w15	0.823	0.506
2009w16	0.822	0.502
2009w17	0.808	0.500
2009w18	0.807	0.501
2009w19	0.816	0.501
2009w20	0.813	0.499
2009w21	0.813	0.501
2009w22	0.813	0.501
2009w23	0.812	0.500
2009w24	0.809	0.499
2009w25	0.809	0.500
2009w26	0.806	0.499
2009w27	0.806	0.499
2009w28	0.806	0.498
2009w29	0.809	0.500
2009w30	0.811	0.499
2009w31	0.811	0.500
2009w32	0.808	0.499
2009w33	0.809	0.505
2009w34	0.809	0.505
2009w35	0.809	0.505
2009w36	0.809	0.505
2009w37	0.807	0.506
2009w38	0.805	0.505
2009w39	0.805	0.505
2009w40	0.804	0.505
2009w41	0.804	0.504
2009w42	0.804	0.503
2009w43	0.804	0.503
2009w44	0.804	0.503
2009w45	0.804	0.503
2009w46	0.805	0.502
2009w47	0.805	0.502
2009w48	0.805	0.503
2009w49	0.806	0.504
2009w50	0.804	0.504
2009w51	0.803	0.503
2009w52	0.803	0.502
2010w1	0.804	0.502
2010w2	0.804	0.501
2010w3	0.804	0.503
2010w4	0.804	0.504
2010w5	0.803	0.505
2010w6	0.805	0.501
2010w7	0.807	0.503
2010w8	0.823	0.490
2010w9	0.823	0.491
2010w10	0.821	0.488
2010w11	0.821	0.487
2010w12	0.819	0.480
2010w13	0.819	0.481
2010w14	0.819	0.480
2010w15	0.819	0.480
2010w16	0.818	0.480
2010w17	0.819	0.478
2010w18	0.819	0.478
2010w19	0.819	0.481
2010w20	0.819	0.480
2010w21	0.819	0.482
2010w22	0.819	0.481
2010w23	0.820	0.481
2010w24	0.820	0.482
2010w25	0.821	0.486
2010w26	0.821	0.486
2010w27	0.822	0.487
2010w28	0.822	0.489
2010w29	0.821	0.489
2010w30	0.822	0.490
2010w31	0.822	0.490
2010w32	0.822	0.490
2010w33	0.822	0.485
2010w34	0.822	0.487
2010w35	0.808	0.492
2010w36	0.817	0.489
2010w37	0.746	0.516
2010w38	0.799	0.537
2010w39	0.819	0.544
2010w40	0.819	0.546
2010w41	0.820	0.551
2010w42	0.818	0.550
2010w43	0.840	0.538
2010w44	0.840	0.546
2010w45	0.842	0.556
2010w46	0.846	0.570
2010w47	0.843	0.564
2010w48	0.843	0.566
2010w49	0.844	0.567
2010w50	0.852	0.600
2010w51	0.853	0.600
2010w52	0.853	0.607
2011w1	0.852	0.615
2011w2	0.868	0.617
2011w3	0.871	0.622
2011w4	0.862	0.616
2011w5	0.864	0.633
2011w6	0.855	0.613
2011w7	0.827	0.584
2011w8	0.833	0.606
2011w9	0.845	0.620
2011w10	0.841	0.625
2011w11	0.841	0.632
2011w12	0.844	0.648
2011w13	0.857	0.657
2011w14	0.857	0.664
2011w15	0.819	0.663
2011w16	0.825	0.676
2011w17	0.821	0.674
2011w18	0.820	0.676
2011w19	0.820	0.687
2011w20	0.830	0.695
2011w21	0.826	0.685
2011w22	0.826	0.692
2011w23	0.827	0.696
2011w24	0.825	0.700
2011w25	0.815	0.686
2011w26	0.820	0.683
2011w27	0.825	0.687
2011w28	0.844	0.694
2011w29	0.824	0.670
2011w30	0.820	0.677
2011w31	0.820	0.680
2011w32	0.849	0.717
2011w33	0.852	0.706
2011w34	0.854	0.716
2011w35	0.854	0.706
2011w36	0.855	0.703
2011w37	0.851	0.713
2011w38	0.855	0.720
2011w39	0.852	0.722
2011w40	0.864	0.723
2011w41	0.861	0.727
2011w42	0.859	0.723
2011w43	0.858	0.724
2011w44	0.854	0.723
2011w45	0.855	0.722
2011w46	0.864	0.719
2011w47	0.872	0.725
2011w48	0.865	0.723
2011w49	0.880	0.737
2011w50	0.879	0.737
2011w51	0.881	0.734
2011w52	0.882	0.734
2012w1	0.881	0.735
2012w2	0.877	0.731
2012w3	0.877	0.731
2012w4	0.881	0.732
2012w5	0.877	0.729
2012w6	0.880	0.731
2012w7	0.882	0.732
2012w8	0.883	0.733
2012w9	0.883	0.733
2012w10	0.882	0.732
2012w11	0.882	0.732
2012w12	0.884	0.734
2012w13	0.884	0.742
2012w14	0.886	0.741
2012w15	0.883	0.737
2012w16	0.883	0.740
2012w17	0.889	0.734
2012w18	0.894	0.736
2012w19	0.893	0.735
2012w20	0.897	0.740
2012w21	0.895	0.736
2012w22	0.895	0.735
2012w23	0.895	0.735
2012w24	0.897	0.733
2012w25	0.892	0.733
2012w26	0.886	0.728
2012w27	0.887	0.730
2012w28	0.887	0.732
2012w29	0.888	0.729
2012w30	0.888	0.725
2012w31	0.888	0.725
2012w32	0.888	0.724
2012w33	0.887	0.723
2012w34	0.888	0.724
2012w35	0.888	0.724
2012w36	0.888	0.723
2012w37	0.889	0.725
2012w38	0.888	0.728
2012w39	0.888	0.729
2012w40	0.887	0.730
2012w41	0.888	0.730
2012w42	0.888	0.730
2012w43	0.889	0.730
2012w45	0.890	0.729
2012w46	0.890	0.729
2012w47	0.889	0.728
2012w48	0.889	0.729
2012w49	0.889	0.729
2012w50	0.889	0.729
2012w51	0.892	0.730
2012w52	0.891	0.731
2013w2	0.890	0.732
2013w3	0.889	0.732
2013w4	0.889	0.732
2013w5	0.889	0.733
2013w6	0.889	0.733
2013w7	0.889	0.733
2013w8	0.889	0.732
2013w9	0.889	0.732
2013w10	0.889	0.734
2013w11	0.890	0.733
2013w12	0.890	0.734
2013w13	0.890	0.736
2013w14	0.890	0.735
2013w15	0.890	0.733
2013w16	0.890	0.733
2013w17	0.890	0.733
2013w18	0.890	0.734
2013w19	0.890	0.734
2013w20	0.890	0.734
2013w21	0.890	0.734
2013w22	0.890	0.735
2013w23	0.890	0.736
2013w24	0.890	0.735
2013w25	0.892	0.736
2013w26	0.891	0.738
2013w27	0.891	0.739
2013w28	0.892	0.739
2013w29	0.892	0.740
2013w30	0.893	0.714
2013w31	0.894	0.720
2013w32	0.889	0.710
2013w33	0.902	0.725
2013w34	0.904	0.731
2013w35	0.904	0.725
2013w36	0.904	0.722
2013w37	0.900	0.718
2013w38	0.880	0.711
2013w39	0.891	0.709
2013w40	0.892	0.716
2013w41	0.889	0.723
2013w42	0.893	0.726
2013w43	0.893	0.727
2013w44	0.895	0.728
2013w45	0.888	0.722
2013w46	0.904	0.729
2013w47	0.878	0.698
2013w48	0.874	0.696
2013w49	0.874	0.701
2013w50	0.872	0.702
2013w51	0.872	0.702
2013w52	0.872	0.715
2014w1	0.875	0.717
2014w2	0.872	0.700
2014w3	0.874	0.709
2014w4	0.872	0.705
2014w5	0.868	0.706
2014w6	0.871	0.714
2014w7	0.876	0.716
2014w8	0.878	0.719
2014w9	0.882	0.721
2014w10	0.880	0.718
2014w11	0.881	0.721
2014w12	0.881	0.722
2014w13	0.877	0.731
2014w14	0.887	0.733
2014w15	0.895	0.738
2014w16	0.898	0.737
2014w17	0.900	0.738
2014w18	0.886	0.723
2014w19	0.890	0.720
2014w20	0.891	0.724
2014w21	0.894	0.719
2014w22	0.897	0.719
2014w23	0.894	0.735
2014w24	0.890	0.739
2014w25	0.907	0.737
2014w26	0.907	0.743
2014w27	0.909	0.751
2014w28	0.902	0.760
2014w29	0.892	0.758
2014w30	0.894	0.759
2014w31	0.898	0.766
2014w33	0.898	0.766
2014w34	0.897	0.767
2014w35	0.903	0.770
2014w36	0.899	0.758
2014w37	0.903	0.756
2014w38	0.901	0.750
2014w39	0.904	0.764
2014w40	0.901	0.764
2014w41	0.902	0.767
2014w42	0.911	0.767
2014w43	0.919	0.767
2014w44	0.918	0.767
2014w45	0.920	0.773
2014w46	0.922	0.772
2014w47	0.922	0.774
2014w48	0.922	0.779
2014w49	0.921	0.777
2014w50	0.920	0.777
2014w51	0.923	0.776
2014w52	0.924	0.780
2015w1	0.926	0.785
2015w2	0.925	0.786
2015w3	0.926	0.785
2015w4	0.926	0.787
2015w5	0.928	0.792
2015w6	0.928	0.792
2015w7	0.926	0.791
2015w8	0.926	0.794
2015w9	0.925	0.794
2015w10	0.923	0.794
2015w11	0.922	0.800
2015w12	0.925	0.802
2015w13	0.927	0.803
2015w14	0.927	0.801
2015w15	0.923	0.794
2015w16	0.924	0.797
2015w17	0.925	0.798
2015w18	0.924	0.799
2015w19	0.923	0.797
2015w20	0.924	0.792
2015w21	0.926	0.795
2015w22	0.900	0.703

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Figure 3. The Inter-SIFI Limit Under Alternative Correlation Assumptions

Default probability
Inter-SIFI limit	Default probablity: SIFI to non-SIFI exposure	Default probability: SIFI to SIFI exposure, corr=0.99	Default probability: SIFI to SIFI exposure, corr=0.85	Default probability: SIFI to SIFI exposure, corr=0.7
0.000000	0.012000	0.010400	0.010400	0.010400
0.002525	0.012000	0.010434	0.010426	0.010419
0.005051	0.012000	0.010463	0.010449	0.010437
0.007576	0.012000	0.010495	0.010475	0.010452
0.010101	0.012000	0.010527	0.010499	0.010469
0.012626	0.012000	0.010556	0.010522	0.010487
0.015152	0.012000	0.010584	0.010547	0.010506
0.017677	0.012000	0.010614	0.010572	0.010523
0.020202	0.012000	0.010645	0.010595	0.010541
0.022727	0.012000	0.010675	0.010618	0.010559
0.025253	0.012000	0.010706	0.010642	0.010574
0.027778	0.012000	0.010738	0.010666	0.010592
0.030303	0.012000	0.010770	0.010690	0.010609
0.032828	0.012000	0.010798	0.010712	0.010624
0.035354	0.012000	0.010829	0.010737	0.010642
0.037879	0.012000	0.010859	0.010763	0.010658
0.040404	0.012000	0.010889	0.010787	0.010674
0.042929	0.012000	0.010921	0.010810	0.010690
0.045455	0.012000	0.010952	0.010836	0.010708
0.047980	0.012000	0.010982	0.010864	0.010725
0.050505	0.012000	0.011012	0.010886	0.010743
0.053030	0.012000	0.011044	0.010909	0.010762
0.055556	0.012000	0.011073	0.010932	0.010778
0.058081	0.012000	0.011105	0.010960	0.010794
0.060606	0.012000	0.011136	0.010984	0.010812
0.063131	0.012000	0.011167	0.011008	0.010829
0.065657	0.012000	0.011199	0.011032	0.010847
0.068182	0.012000	0.011229	0.011057	0.010864
0.070707	0.012000	0.011263	0.011083	0.010880
0.073232	0.012000	0.011295	0.011109	0.010898
0.075758	0.012000	0.011328	0.011134	0.010916
0.078283	0.012000	0.011362	0.011158	0.010935
0.080808	0.012000	0.011392	0.011184	0.010953
0.083333	0.012000	0.011425	0.011208	0.010970
0.085859	0.012000	0.011457	0.011234	0.010988
0.088384	0.012000	0.011490	0.011260	0.011006
0.090909	0.012000	0.011521	0.011285	0.011024
0.093434	0.012000	0.011552	0.011310	0.011043
0.095960	0.012000	0.011584	0.011334	0.011062
0.098485	0.012000	0.011615	0.011358	0.011078
0.101010	0.012000	0.011647	0.011382	0.011095
0.103535	0.012000	0.011681	0.011408	0.011114
0.106061	0.012000	0.011715	0.011430	0.011132
0.108586	0.012000	0.011748	0.011457	0.011153
0.111111	0.012000	0.011780	0.011481	0.011173
0.113636	0.012000	0.011810	0.011505	0.011193
0.116162	0.012000	0.011841	0.011527	0.011211
0.118687	0.012000	0.011872	0.011553	0.011228
0.121212	0.012000	0.011902	0.011577	0.011247
0.123737	0.012000	0.011931	0.011603	0.011266
0.126263	0.012000	0.011964	0.011629	0.011284
0.128788	0.012000	0.011996	0.011657	0.011304
0.131313	0.012000	0.012029	0.011682	0.011323
0.133838	0.012000	0.012062	0.011705	0.011343
0.136364	0.012000	0.012091	0.011733	0.011360
0.138889	0.012000	0.012121	0.011759	0.011378
0.141414	0.012000	0.012156	0.011784	0.011397
0.143939	0.012000	0.012188	0.011808	0.011414
0.146465	0.012000	0.012218	0.011833	0.011434
0.148990	0.012000	0.012254	0.011858	0.011453
0.151515	0.012000	0.012285	0.011883	0.011471
0.154040	0.012000	0.012316	0.011909	0.011490
0.156566	0.012000	0.012348	0.011934	0.011507
0.159091	0.012000	0.012383	0.011955	0.011524
0.161616	0.012000	0.012414	0.011981	0.011543
0.164141	0.012000	0.012451	0.012006	0.011561
0.166667	0.012000	0.012486	0.012031	0.011582
0.169192	0.012000	0.012520	0.012057	0.011602
0.171717	0.012000	0.012551	0.012083	0.011618
0.174242	0.012000	0.012583	0.012110	0.011637
0.176768	0.012000	0.012616	0.012140	0.011659
0.179293	0.012000	0.012648	0.012165	0.011675
0.181818	0.012000	0.012684	0.012191	0.011694
0.184343	0.012000	0.012716	0.012216	0.011714
0.186869	0.012000	0.012750	0.012242	0.011734
0.189394	0.012000	0.012784	0.012269	0.011752
0.191919	0.012000	0.012817	0.012297	0.011771
0.194444	0.012000	0.012850	0.012323	0.011788
0.196970	0.012000	0.012881	0.012349	0.011807
0.199495	0.012000	0.012917	0.012374	0.011827
0.202020	0.012000	0.012947	0.012402	0.011850
0.204545	0.012000	0.012978	0.012427	0.011871
0.207071	0.012000	0.013009	0.012454	0.011891
0.209596	0.012000	0.013041	0.012482	0.011909
0.212121	0.012000	0.013073	0.012507	0.011928
0.214646	0.012000	0.013105	0.012535	0.011948
0.217172	0.012000	0.013142	0.012558	0.011967
0.219697	0.012000	0.013175	0.012588	0.011986
0.222222	0.012000	0.013206	0.012613	0.012007
0.224747	0.012000	0.013239	0.012639	0.012027
0.227273	0.012000	0.013273	0.012667	0.012046
0.229798	0.012000	0.013304	0.012696	0.012064
0.232323	0.012000	0.013339	0.012724	0.012084
0.234848	0.012000	0.013373	0.012750	0.012102
0.237374	0.012000	0.013407	0.012776	0.012122
0.239899	0.012000	0.013442	0.012802	0.012143
0.242424	0.012000	0.013476	0.012828	0.012164
0.244949	0.012000	0.013506	0.012856	0.012183
0.247475	0.012000	0.013538	0.012884	0.012201
0.250000	0.012000	0.013577	0.012911	0.012222

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Last update: March 21, 2016