Interpretation note
The FAQ for specifies that inflation and cross-currency
bases should be considered for Vega risk factors. These risk factors do not have an underlying
residual maturity dimension. However, and
do not specify the correlation parameter when
one of the underlyings is an Inflation or Basis curve (and hence do not
have an underlying maturity).
In Atoti FRTB, when one of the underlying curves is an
inflation or cross-currency basis curve, Atoti FRTB uses with
equal to 0% or 40% as determined by and .