CRR › Article 383l
Article 383l Intra-bucket correlations for interest rate risk
official text, verbatim
1
For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply to the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Article 383k, Table 1, shall be the following:
Table 1
| Bucket | 1 | 2 | 3 | 4 | 5 |
1(1)
| 1 | 100 % | 91 % | 72 % | 55 % | 31 % |
1(2)
| 2 | 100 % | 87 % | 72 % | 45 % |
1(3)
| 3 | 100 % | 91 % | 68 % |
1(4)
| 4 | 100 % | 83 % |
1(5)
| 5 | 100 % |
2
Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency.
3
Institutions shall apply a correlation parameter of 40 % for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency.