SDX Interest Rates Help > What SDX Interest Rates Calculates > Correlation Exposure

Correlation Exposure

The Correlation Exposure result displays the exposure of the instrument (i.e., the change in its market value) to a 1% increase in the correlation value.

For instruments where this feature is supported, if you are using the term structure method of correlation (rather than the flat method of correlation), this result displays the exposure to a 1% increase for each tenor in the term structure.