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Article 325ao - Correlations across buckets 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

1.  
The correlation parameter γb c shall apply to the aggregation of sensitivities between different buckets and shall be set at 0 %.
2.  
The own funds requirement for bucket 25 shall be added to the overall risk class level capital, with no diversification or hedging effects recognised with any other bucket.
In Force

Version from: 08/07/2022

Amendment History