Article 383l
Intra-bucket correlations for interest rate risk
1.
For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply to the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Article 383k, Table 1, shall be the following:
Table 1
|
1 |
2 |
3 |
4 |
5 |
|
|
1 |
100 % |
91 % |
72 % |
55 % |
31 % |
|
2 |
|
100 % |
87 % |
72 % |
45 % |
|
3 |
|
|
100 % |
91 % |
68 % |
|
4 |
|
|
|
100 % |
83 % |
|
5 |
|
|
|
|
100 % |
2.
Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency.
3.
Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency.