+Article 383l 1.

Article 383l 1.

For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply to the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Article 383k, Table 1, shall be the following:



Table 1

Bucket

1

2

3

4

5

1

100 %

91 %

72 %

55 %

31 %

2

 

100 %

87 %

72 %

45 %

3

 

 

100 %

91 %

68 %

4

 

 

 

100 %

83 %

5

 

 

 

 

100 %

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards