Article 325ao
Correlations across buckets for credit spread risk for securitisations not included in the ACTP
1.
The correlation parameter γb
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.
