Article 325af

1. Between two weighted sensitivities of general interest rate risk factors WS_k and WS_l within the same bucket, and with the same assigned maturity but corresponding to different curves, correlation ρ_kl shall be set at 99,90 %.

2. Between two weighted sensitivities of general interest rate risk factors WS_k and WS_l within the same bucket, corresponding to the same curve, but having different maturities, correlation shall be set in accordance with the following formula:

where:

T_k (respectivelyT_l)     =    the maturity that relates to the risk free rate;
θ                                  =    3 %

3. Between two weighted sensitivities of general interest rate risk factors WS_k and WS_l within the same bucket, corresponding to different curves and having different maturities, the correlation ρ_kl shall be equal to the correlation parameter specified in paragraph 2, multiplied by 99,90 %.

4. Between any given weighted sensitivity of general interest rate risk factors WS_k and any given weighted sensitivity of inflation risk factors WS_l, the correlation shall be set at 40 %.

5. Between any given weighted sensitivity of cross-currency basis risk factors WS_k and any given weighted sensitivity of general interest rate risk factors WS_l, including another cross-currency basis risk factor, the correlation shall be set at 0 %.