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    • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
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          • FRTB Standardised Approach for the Trading Book (SA-TB, BCBS 352)
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          • FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)
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        1. Capital/FRTB
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        FRTB Basic Approach for CVA (BA-CVA, BCBS 325)

        • Slides
        • Excel
        Slides
        • Introduction
        • Basic CVA capital charge
        • Contribution of credit spread variability - 1 of 2
        • Contribution of credit spread variability - 2 of 2
        • Supervisory risk weights
        • Correlation
        • Basic CVA - pros and cons
        1. Slides

        Supervisory risk weights

        • Single-name risk weights are obtained by scaling the SA-CVA risk weights for counterparty credit spreads to a one-year horizon.
        • Broad index risk weights are set equal to the minimum of the single-name risk weights across sectors.




          Risk Bucket

          Investment Grade

          Non-invest. Grade




          Sovereigns including central banks, multilateral development banks

          8.8%

          20.4%




          Financials including government-backed financials

          10.2%

          17.3%




          Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying

          7.1%

          13.0%




          Consumer goods and services, transportation and storage, administrative and support service activities

          6.1%

          14.4%




          Technology, telecommunications

          5.1%

          13.0%




          Health care, utilities, local government, government-backed non-financials, education, public administration, professional and technical activities

          4.1%

          8.7%




          Indices spanning multiple buckets

          4.1%

          8.7%




        Excel

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