Article 325ag

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 6 > Subsection 1 > Article 325ag
Title:
Article 325ag
Description: 
Correlations across buckets for general interest rate risk
Main content: 

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.