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Capital Requirements Regulation (CRR)
Article 325al

Article 325al - Correlations for credit spread risk for securitisations included in the ACTP

Status
In force
Selected consolidated version from
30/09/2021
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Article 325al

Correlations for credit spread risk for securitisations included in the ACTP

1.  
The delta risk correlation ρk l shall be derived in accordance with Article 325ai, except that, for the purposes of this paragraph, ρk l (basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,00 %.
2.  
The correlation γb c shall be derived in accordance with Article 325aj.

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