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Capital Requirements Regulation (CRR)
Article 325ai

Article 325ai — Intra-bucket correlations for credit spread risk for non-securitisations

  1. The correlation parameter ρkl between two sensitivities WSk and WSl within the same bucket shall be set as follows:
    • ρkl = ρkl(name) · ρkl(tenor) · ρkl(basis)

      where:

      • ρkl(name) shall be equal to 1 where the two names of sensitivities k and l are identical, otherwise it shall be equal to 35 %;
      • ρkl(tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 65 %; and
      • ρkl(basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,90 %.
  2. The correlation parameters referred to in paragraph 1 of this Article shall not apply to bucket 18 in Table 4 of Article 325ah(1). The capital requirement for the delta risk aggregation formula within bucket 18 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:
    $${K _{b ^{(bucket 18)}}} = {\sum _{k} |\mathrm{WS} _{k}|}$$