Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

Article 325ag Correlations across buckets for general interest rate risk

1. The parameter γbc = 50 % shall be used to aggregate risk factors belonging to different buckets.

2. The parameter γbc = 80 % shall be used to aggregate an interest rate risk factor based on a currency as referred to in Article 325av(3) and an interest rate risk factor based on the euro.