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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 325au CELEX: 02013R0575-20250629 Correlations across buckets for commodity risk
The correlation parameter γb c applying to the aggregation of sensitivities between different buckets shall be set at: (a) 20 % where the two buckets fall within bucket numbers 1 to 10; (b) 0 % where either of the two buckets is bucket number 11. |