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Capital Requirements Regulation (CRR)
Article 325ag

Article 325ag — Correlations across buckets for general interest rate risk

  1. The parameter γbc = 50 % shall be used to aggregate risk factors belonging to different buckets.
  2. The parameter γbc = 80 % shall be used to aggregate an interest rate risk factor based on a currency as referred to in Article 325av(3) and an interest rate risk factor based on the euro.