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Article 325al - Correlations for credit spread risk for securitisations included in the ACTP

Article 325al
Correlations for credit spread risk for securitisations included in the ACTP

1.The delta risk correlation ρ k l shall be derived in accordance with Article 325ai, except that, for the purposes of this paragraph, ρ k l (basis) shall be equal to 1 where the two sensitivities are related to the same curves, otherwise it shall be equal to 99,00 %.

2.The correlation γ b c shall be derived in accordance with Article 325aj.

Official text · consolidated version 27/06/2019 (no longer in force) Open full page ↗
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