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Version date: 27 June 2019 - onwards
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Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations

1. The correlation parameter ρkl between two sensitivities WSk and WSl within the same bucket shall be set as follows:

2. The correlation parameters referred to in paragraph 1 of this Article shall not apply to bucket 18 in Table 4 of Article 325ah(1). The capital requirement for the delta risk aggregation formula within bucket 18 shall be equal to the sum of the absolute values of the net weighted sensitivities allocated to that bucket: