Article 325ao

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 6 > Subsection 1 > Article 325ao
Title:
Article 325ao
Description: 
Correlations across buckets for credit spread risk for securitisations not included in the ACTP
Main content: 

1. The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets and shall be set at 0 %.

2. The own funds requirement for bucket 25 shall be added to the overall risk class level capital, with no diversification or hedging effects recognised with any other bucket.