Identity (zero off-diagonal); calibration pending
| source | Internal placeholder; calibration deferred to PL-07 sweep |
| derivation | expert_judgment |
| quality | estimated |
| evidence | documented_internal |
| regulatory frameworks | asop_27, asop_56 |
| set | 2026-05-04 |
| next review due | 2026-12-31 |
Default-zero correlation is an honest gap, not a calibrated value. Cross-currency hedge accuracy in M-132 (fx_forward_pricer, xccy_swap_pricer) is materially affected. Calibration plan: bilateral rolling-window correlation from FRED FX series + Treasury yields, OR historical GARCH-DCC fit. Sourcing decision under PL-07 sweep.