+Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
---+Article 325ao 1.
---+Article 325ao 2.
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Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
1. Overview
| Summary |
Regulation |
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Article 325ao 1.
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The correlation parameter γb
c shall apply to the aggregation of sensitivities between different buckets and shall be set at 0 %.
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Article 325ao 2.
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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.
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1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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