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Capital Requirements Regulation (CRR)
Article 325al

Article 325al — Correlations for credit spread risk for securitisations included in the ACTP

  1. The delta risk correlation ρkl shall be derived in accordance with Article 325ai, except that, for the purposes of this paragraph, ρkl(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 γbc shall be derived in accordance with Article 325aj.