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Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 30 September 2021 - onwards
  Version 2 of 2    

Article 325ar Correlations across buckets for equity risk

The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets. It shall be set in relation to the buckets of Table 8 in Article 325ap as follows:

(a) 15 % where the two buckets fall within bucket numbers 1 to 10;

(b) 0 % where either of the two buckets fall within bucket number 11;

(c) 75 % where the two buckets fall within bucket number 12 and 13;

(d) 45 % otherwise.

Comparing proposed amendment...