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Article 325ag - Correlations across buckets for general interest rate risk

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.

Official text · consolidated version 26/06/2026 (in force) Open full page ↗
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