CRR — Regulation (EU) No 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation) · version 2026-06-26 · CELEX 32013R0575 · consolidated text, no legal effect (EUR-Lex)

CRR › Article 383o

Article 383o Correlations for foreign exchange risk

official text, verbatim

A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to delta foreign exchange risk factor across buckets.

A uniform correlation parameter equal to 60 % shall apply to the aggregation of sensitivities to vega foreign exchange risk factor across buckets.

ARTICLE

CRR art 383o Correlations for foreign exchange risk

reg/2013/575/art_383o

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Text: official, verbatim. Uses and counts are derived from Annex I references and the DPM 2.0 database of the release shown above. Version 2026-06-26. Source: 02013R0575 — EN — 26.06.2026 — 021.001.