Contents
Article 3Specific methodology for inflation, mono-currency and cross-currency basis risk factors#
1.By way of derogation from Article 1, institutions shall map inflation risk factors for a given currency to the broad risk factor category ‘Interest rate’, and to the broad risk factor sub-category of that currency.
2.By way of derogation from Article 1, institutions shall map mono-currency basis risk factors and cross-currency basis risk factors to the broad risk factor category ‘Interest Rate’, and to the broad risk factor sub-category of the currency denominating the basis.
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