Art. 383m · Correlation across buckets for interest rate risk

Version in force 1 January 2025, Inserted +184 −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)

Applies from: not readable (an inserted provision states its own application date only in prose) why

Explanation, written by a model and checked against the cited text

This is a newly inserted provision setting the cross-bucket correlation parameter for interest rate delta and vega risks at 0,5 for all currency pairs.

Cited: Art. 383m, v2 (external, EUR-Lex)

v1 is the previous version, v2 this one.

Article 383m
Correlation across buckets for interest rate risk
The cross-bucket correlation parameter for interest rate delta and vega risks shall be set at 0,5 for all currency pairs.