Version in force , Modified +245 −12§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
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Explanation, written by a model and checked against the cited text
The provision now ties the correlation parameter to the buckets of Table 8 in Article 325ap rather than stating a single rule, retaining the 15% figure for bucket numbers 1 to 10 but adding three further cases covering bucket 11, buckets 12 and 13, and all other bucket combinations.
Cited: Art. 325ar, v1 (external, EUR-Lex) · Art. 325ar, 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 325ar
Correlations across buckets for equity risk
The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets. It shall be set at in relation to the buckets of Table 8 in Article 325ap as follows:
(a) 15 % where the two buckets fall within buckets bucket numbers 1 to 10. 10;
(b) 0 % where either of the two buckets fall within bucket number 11;
(c) 75 % where the two buckets fall within bucket number 12 and 13;
(d) 45 % otherwise.