FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)

Correlations - 2 of 2

The delta risk correlation $ρ_{k l}$ between a sensitivity $W S_{k}$ to the inflation curve and a sensitivity $W S_{l}$ to a given vertex of the relevant yield curve is 40%.
The delta risk correlation $ρ_{k l}$ between a sensitivity $W S_{k}$ to a cross currency basis curve and a sensitivity $W S_{l}$ to a given vertex of the relevant yield curve, the inflation curve or another cross currency basis curve (if relevant) is 0%.
The parameter $γ_{b c} = 50 %$ must be used for aggregating between different currencies.
An example to clear things up: the correlation between sensitivity to the vertex 1 year of the Eonia swap curve and the sensitivity to the vertex 5 year of the Eonia swap curve in the same currency is
$max [e^{- 3 % * \frac{1 - 5}{m i n [1; 5]}}; 40 %] = 88.69 %$