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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 325ao CELEX: 02013R0575-20250629 Correlations across buckets for credit spread risk for securitisations not included in the ACTP
1. The correlation parameter γb c shall apply to the aggregation of sensitivities between different buckets and shall be set at 0 %. 2. 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. |