- 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
| Bucket Number | Credit Quality | Sector |
| 7 | High yield (HY) | Sovereigns including central banks, multilateral development banks |
| 8 | High yield (HY) | Financials including government-backed financials |
| 9 | High yield (HY) | Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying |
| 10 | High yield (HY) | Consumer goods and services, transportation and storage, administrative and support service activities |
| 11 | High yield (HY) | Technology, telecommunications |
| 12 | High yield (HY) | Health care, utilities, local government, government-backed non-financials, education, public administration, and professional and technical activities |
| 13 | (Not applicable) | Other sector |