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New version applies from 27/06/2020 — introduced by Regulation (EU) 2020/873. 75 provisions change. Later versions: 28/12/2020, 29/06/2021, 30/09/2021, 10/04/2022, 08/07/2022, 01/01/2023, 28/06/2023, 09/01/2024, 09/07/2024, 01/01/2025, 29/06/2025, 01/01/2026, 26/06/2026, 01/01/2027. Article 325ao changes in this version: compare with the current text.

Article 325ao - Correlations across buckets for credit spread risk for securitisations not included in the ACTP

Article 325ao
Correlations across buckets for credit spread risk for securitisations not included in the ACTP

1.The correlation parameter γ b c shall apply to the aggregation of sensitivities between different buckets and shall be set at 0 %.

2.The own funds requirement for bucket 25 shall be added to the overall risk class level capital, with no diversification or hedging effects recognised with any other bucket.

Official text · consolidated version 25/12/2019 (no longer in force) Open full page ↗
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