Article 325ai

1. The correlation parameter ρ_kl between two sensitivities WS_k and WS_l within the same bucket shall be set as follows:

ρ_kl = ρ_kl^(name) · ρ_kl^(tenor) · ρ_kl^(basis)

where:

ρ_kl^(name) shall be equal to 1 where the two names of sensitivities k and l are identical, otherwise it shall be equal to 35 %;

ρ_kl^(tenor) shall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 65 %; and

ρ_kl^(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 of this Article shall not apply to bucket 18 in Table 4 of Article 325ah(1). The capital requirement for the delta risk aggregation formula within bucket 18 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket: