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Commission Delegated Regulation (EU) 2021/424 of 17 December 2019 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the alternative standardised approach for market risk (Text with EEA relevance) · European Union

Article 325aq is amended as follows paragraph 1 is replaced by the following: ‘1. The delta risk correlation parameter ρkl between two sensitivities WS k and WS l within the same bucket shall be set at 99,90 % where one is a sensitivity to an equity spot price and the other is a sensitivity to an equity repo rate and where both sensitivities are related to the same equity issuer name.’; in paragraph 2, the following point (e) is added: 80 % between two sensitivities within the same bucket that fall under either index bucket (bucket number 12 or 13).’; paragraph 3 is replaced by the following: ‘3. The correlation parameter ρkl between two sensitivities WSk and WSl to equity repo rates within the same bucket shall be set in accordance with points (a) to (d) of paragraph 2.’;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-18 · Text as adopted (Official Journal); later amendments are not incorporated in this text.