Version in force , Inserted +836 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
This is a newly added article setting out correlation parameters that institutions apply when aggregating risk-free rate delta sensitivities across the buckets referenced in Article 383k, along with fixed 40% correlation parameters for combining inflation rate delta sensitivity with risk-free rate delta sensitivity, and for combining inflation rate vega sensitivity with interest rate vega sensitivity, each within the same currency.
Cited: Art. 383l, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
Article 383l Intra-bucket correlations for interest rate risk 1. For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply to the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Article 383k, Table 1, shall be the following: Table 1 Bucket 1 2 3 4 5 1 100 % 91 % 72 % 55 % 31 % 2 100 % 87 % 72 % 45 % 3 100 % 91 % 68 % 4 100 % 83 % 5 100 % 2. Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency. 3. Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency.