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Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance article 383l CELEX: 02013R0575-20250629 Intra-bucket correlations for interest rate risk
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 %
2. Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency. 3. Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency. |