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.