Version in force , Modified +172 −13§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
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Found in the text, but not every source lists it — the text comparison and the EU's own amendment metadata found this change; the amending act's instructions do not mention it. The source that does not name it is the amending act's instructions. All are shown; none is overruled.
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Paragraph 1 rewords the description of the two sensitivities and the shared issuer name condition without altering the 99,90% figure.
Paragraph 2 gains a new point (e) setting an 80% correlation between two sensitivities within the same bucket falling under bucket number 12 or 13.
Paragraph 3 now refers only to points (a) to (d) of paragraph 2 rather than to paragraph 2 as a whole, and its phrase 'equity repo rate' becomes 'equity repo rates'.
Cited: Art. 325aq, v1 (external, EUR-Lex) · Art. 325aq, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 June 2021 02013R0575-20210629 → this version, in force 30 September 2021 02013R0575-20210930
Article 325aq
Intra-bucket correlations for equity risk
1. The delta risk correlation parameter ρkl between two sensitivities WSk and WSl within the same bucket shall be set at 99,90 % where one is a sensitivity to an equity spot price and the other is a sensitivity to an equity repo rate, rate and where both sensitivities are related to the same equity issuer name.
2. In other cases than the cases referred to in paragraph 1, the correlation parameter ρkl between two sensitivities WSk and WSl to equity spot price within the same bucket shall be set as follows:
(a) 15 % between two sensitivities within the same bucket that fall under the category large market capitalisation, emerging market economy (bucket number 1, 2, 3 or 4);
(b) 25 % between two sensitivities within the same bucket that fall under the category large market capitalisation, advanced economy (bucket number 5, 6, 7 or 8);
(c) 7,5 % between two sensitivities within the same bucket that fall under the category small market capitalisation, emerging market economy (bucket number 9);
(d) 12,5 % between two sensitivities within the same bucket that fall under the category small market capitalisation, advanced economy (bucket number 10). 10);
(e) 80 % between two sensitivities within the same bucket that fall under either index bucket (bucket number 12 or 13).
3. The correlation parameter ρkl between two sensitivities WSk and WSl to equity repo rate rates within the same bucket shall be set in accordance with points (a) to (d) of paragraph 2.
4. Between two sensitivities WSk and WSl within the same bucket where one is a sensitivity to an equity spot price and the other a sensitivity to an equity repo rate and both sensitivities relate to a different equity issuer name, the correlation parameter ρkl shall be set to the correlation parameters specified in paragraph 2, multiplied by 99,90 %.
5. The correlation parameters specified in paragraphs 1 to 4 shall not apply to bucket 11. The capital requirement for the delta risk aggregation formula within bucket 11 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket:Kbbucket 11kWSk