Article 325al

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 6 > Subsection 1 > Article 325al
Title:
Article 325al
Description: 
Correlations for credit spread risk for securitisations included in the ACTP
Main content: 

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.