Art. 325ao · Correlations across buckets for credit spread risk for securitisations not included in the ACTP

Version in force 27 June 2019, Inserted +417 −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

Not in every listWhat this means

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 new provision sets the cross-bucket correlation parameter for credit spread risk on securitisations not included in the ACTP at 0%.

It also specifies that the own funds requirement for bucket 25 is added directly to the overall risk class level capital, without recognising diversification or hedging effects with any other bucket.

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

v1 is the previous version, v2 this one.

Article 325ao
Correlations across buckets for credit spread risk for securitisations not included in the ACTP
1. The correlation parameter γbc 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.