Art. 325al · Correlations for credit spread risk for securitisations included in the ACTP

Version in force 27 June 2019, Inserted +429 −0§

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

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

This new provision sets out how the delta risk correlation ρkl for securitisations included in the ACTP is to be derived by reference to Article 325ai, with a fixed basis correlation of 1 when two sensitivities relate to the same curves and 99.00% otherwise.

It also states that the correlation γbc for this purpose is to be derived in accordance with Article 325aj.

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

v1 is the previous version, v2 this one.

Article 325al
Correlations for credit spread risk for securitisations included in the ACTP
1. The delta risk correlation ρkl shall be derived in accordance with Article 325ai, except that, for the purposes of this paragraph, ρkl(basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,00 %.
2. The correlation γbc shall be derived in accordance with Article 325aj.