| Description | The levels of this hierarchy describe all possible combinations for determining vega risk factor correlations for the CSR Sec non-CTP risk class. |
| Reference | [MAR21.94] |
| Dimension | Double Sums |
| Hierarchy | CSR Sec non-CTP Vega Double Sums |
| Levels | [ALL, Tranche, Basis, Maturity1, Maturity2] |