- Introduction
- Multiplier m(CVA)
- Hedge eligibility
- Margin Period of Risk
- SA-CVA Capital Requirement
- Sensitivity buckets - 1 of 3
- Sensitivity buckets - 2 of 3
- Sensitivity buckets - 3 of 3
- Buckets, risk factors, sensitivities, risk weights and correlations
- Interest rate -- 1 of 2
- Interest rate -- 2 of 2
- Delta for other currencies
- Vega for any currency
- Foreign Exchange and FX delta
- FX vega for any foreign currency
- Counterparty credit spread - 1 of 3
- Counterparty credit spread - 2 of 3
- Counterparty credit spread - 3 of 3
- Counterparty credit spread delta risk factors for a given bucket - 1 of 2
- Counterparty credit spread delta risk factors for a given bucket - 2 of 2
- Equity - 1 of 2
- Equity - 2 of 2
- Equity delta - 1 of 2
- Equity delta - 2 of 2
- For counterparty credit spread, vega risk is not calculated. Buckets for
delta risk are:
Bucket Number
Credit Quality
Sector
1
Investment grade
Sovereigns including central banks, multilateral development banks
2
Investment grade
Financials including government-backed financials
3
Investment grade
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
4
Investment grade
Consumer goods and services, transportation and storage, administrative and support service activities
5
Investment grade
Technology, telecommunications
6
Investment grade
Health care, utilities, local government, government-backed non-financials, education, public administration, professional and technical activities
