Article 325al | Regulation 575/2013 | CRR

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Article 325al

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

Article 325al

Correlations for credit spread risk for securitisations included in the ACTP

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 %.

The correlation γb c shall be derived in accordance with Article 325aj.

Recitals

PART ONE - GENERAL PROVISIONS (Article 1-24)

PART TWO - OWN FUNDS AND ELIGIBLE LIABILITIES (Article 25-91)

PART THREE - CAPITAL REQUIREMENTS (Article 92-386)

TITLE I - GENERAL REQUIREMENTS, VALUATION AND REPORTING (Article 92-106)

TITLE II - CAPITAL REQUIREMENTS FOR CREDIT RISK (Article 107-311)

TITLE III - OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISK (Article 312-324)

TITLE IV - OWN FUNDS REQUIREMENTS FOR MARKET RISK (Article 325-377)

CHAPTER 1 - General provisions (Article 325-325b)

CHAPTER 1a - Alternative standardised approach (Article 325c-325ay)

Section 1 - General provisions (Article 325c)

Section 2 - Sensitivities-based method for calculating the own funds requirement (Article 325d-325k)

Section 3 - Risk factor and sensitivity definitions (Article 325l-325t)

Section 4 - The residual risk add-on (Article 325u)

Section 5 - Own funds requirements for the default risk (Article 325v-325ad)

Section 6 - Risk weights and correlations (Article 325ae-325ay)

Subsection 1 - Delta risk weights and correlations (Article 325ae-325aw)Article 325ae - Risk weights for general interest rate risk Article 325af - Intra bucket correlations for general interest rate risk Article 325ag - Correlations across buckets for general interest rate risk Article 325ah - Risk weights for credit spread risk for non-securitisations Article 325ai - Intra-bucket correlations for credit spread risk for non-securitisations Q&A Article 325aj - Correlations across buckets for credit spread risk for non-securitisations Article 325ak - Risk weights for credit spread risk for securitisations included in the ACTP Article 325al - Correlations for credit spread risk for securitisations included in the ACTP Article 325am - Risk weights for credit spread risk for securitisations not included in the ACTP Article 325an - Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP Article 325ao - Correlations across buckets for credit spread risk for securitisations not included in the ACTP Article 325ap - Risk weights for equity risk ITS/RTS Article 325aq - Intra-bucket correlations for equity risk Article 325ar - Correlations across buckets for equity risk Article 325as - Risk weights for commodity risk Article 325at - Intra-bucket correlations for commodity risk Article 325au - Correlations across buckets for commodity risk Article 325av - Risk weights for foreign exchange risk Article 325aw - Correlations for foreign exchange risk

Subsection 2 - Vega and curvature risk weights and correlations (Article 325ax-325ay)

CHAPTER 1b - Alternative internal model approach (Article 325az-325bp)

CHAPTER 2 - Own funds requirements for position risk (Article 326-350)

CHAPTER 3 - Own funds requirements for foreign-exchange risk (Article 351-354)

CHAPTER 4 - Own funds requirements for commodities risk (Article 355-361)

CHAPTER 5 - Use of internal models to calculate own funds requirements (Article 362-377)

TITLE V - OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK (Article 378-380)

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)

PART FOUR - LARGE EXPOSURES (Article 387-403)

PART FIVE - EXPOSURES TO TRANSFERRED CREDIT RISK (Article 404-410)

PART SIX - LIQUIDITY (Article 411-428az)

PART SEVEN - LEVERAGE (Article 429-429g)

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)

PART EIGHT - DISCLOSURE BY INSTITUTIONS (Article 431-455)

PART NINE - DELEGATED AND IMPLEMENTING ACTS (Article 456-464)

PART TEN - TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS (Article 465-520)

PART ELEVEN - FINAL PROVISIONS (Article 521)

ANNEX I Q&A ANNEX II Q&A ANNEX III Q&A ANNEX IV Q&A

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

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