Art. 325ag · Correlations across buckets for general interest rate risk

Version in force 27 June 2019, Inserted +363 −0§

Amended by Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)

Applies from: not readable (an inserted provision states its own application date only in prose) why

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Found in the text, but not every source lists it — the text comparison and the amending act's instructions found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. All are shown; none is overruled.

Explanation, written by a model and checked against the cited text

This provision is newly introduced and sets out two aggregation parameters for combining general interest rate risk factors across different buckets.

It specifies a gamma value of 50% for aggregating risk factors from different buckets generally, and a gamma value of 80% specifically for aggregating a currency-based interest rate risk factor referred to in Article 325av(3) with an interest rate risk factor based on the euro.

Cited: Art. 325ag, v2 (external, EUR-Lex)

v1 is the previous version, v2 this one.

Article 325ag
Correlations across buckets for general interest rate risk
1. The parameter γbc = 50 % shall be used to aggregate risk factors belonging to different buckets.
2. The parameter γbc = 80 % shall be used to aggregate an interest rate risk factor based on a currency as referred to in Article 325av(3) and an interest rate risk factor based on the euro.