Art. 383o · Correlations for foreign exchange risk

Version in force 1 January 2025, Inserted +352 −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 new article setting a uniform correlation parameter of 60% for aggregating sensitivities to delta foreign exchange risk factors across buckets.

It also sets the same 60% uniform correlation parameter for aggregating sensitivities to vega foreign exchange risk factors across buckets.

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

v1 is the previous version, v2 this one.

Article 383o
Correlations for foreign exchange risk
1. A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to delta foreign exchange risk factor across buckets.
2. A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to vega foreign exchange risk factor across buckets.