Art. 325af
Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex
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in force 2023-06-28 INSERTED±0§
Amended by Regulation (EU) 2019/876 32019R0876
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in force 2020-12-28 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown
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in force 2019-06-27 INSERTED§
Amended by Regulation (EU) 2019/876 32019R0876
applies from: unknown (an inserted provision states its own application date only in prose)
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This article is entirely new text, setting out five paragraphs of correlation parameters to apply within a bucket for general interest rate risk sensitivities, covering combinations of same or different curves, same or different maturities, inflation risk factors, and cross-currency basis risk factors.
It specifies fixed correlation values such as 99,90%, 40% and 0% for particular pairings, and a formula involving maturities and a 3% parameter for sensitivities on the same curve with differing maturities.
Cited: Art. 325af, v2
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