EBU Single Rulebook Q&A 7 February 2025 2025_7334 Definition of Delta GIRR risk-free interest rate curves
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European Union · · · 11-04-2025
Which risk-free interest rate curves per currency should be considered as different curves? Article 325l(1) CRR specifies that delta GIRR factors applicable to interest rate-sensitive instruments shall be the relevant risk-free rates per currency. Article 325af CRR specifies the correlation for the aggregation of different GIRR curves within the same bucket.MAR21.
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