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Capital Requirements Regulation (CRR)
Article 325an

Article 325an — Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP

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

      where:

      • ρkl(thranche) shall be equal to 1 where the two names of sensitivities k and l are within the same bucket and are related to the same securitisation tranche (more than 80 % overlap in notional terms), otherwise it shall be equal to 40 %;
      • 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 80 %; 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 shall not apply to bucket 25 in Table 7 of Article 325am(1). The own funds requirement for the delta risk aggregation formula within bucket 25 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:
    $${K _{b ^{(bucket 25)}}} = {\sum _{k} |\mathrm{WS} _{k}|}$$