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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.