+Article 325al Correlations for credit spread risk for securitisations included in the ACTP
---+Article 325al 1.
---+Article 325al 2.

Article 325al Correlations for credit spread risk for securitisations included in the ACTP

1. Overview

,
Article 325al 1.
The delta risk correlation ρk l shall be derived in accordance with Article 325ai, except that, for the purposes of this paragraph, ρk l (basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,00 %.
Article 325al 2.
The correlation γb c shall be derived in accordance with Article 325aj.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards