Art. 325au · Correlations across buckets for commodity risk

Version in force 27 June 2019, Inserted +306 −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 is a new provision setting the cross-bucket correlation parameter γbc used when aggregating commodity risk sensitivities, fixing it at 20% when both buckets are among numbers 1 to 10 and at 0% when either bucket is bucket number 11.

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

v1 is the previous version, v2 this one.

Article 325au
Correlations across buckets for commodity risk
The correlation parameter γbc applying to the aggregation of sensitivities between different buckets shall be set at:
(a) 20 % where the two buckets fall within bucket numbers 1 to 10;
(b) 0 % where either of the two buckets is bucket number 11.