1. Capital/FRTB

FRTB Standardised Approach for CVA (SA-CVA, BCBS 325)

Slides
  1. Slides

Counterparty credit spread - 3 of 3

  • For counterparty credit spread delta risk, cross-bucket correlations γbc applying within the same credit quality category (ie either IG or HY&NR) are given by:

    Bucket

    1

    2

    3

    4

    5

    6

    1

    100%

    10%

    20%

    25%

    20%

    15%

    2

    –

    100%

    5%

    15%

    20%

    5%

    3

    –

    –

    100%

    20%

    25%

    5%

    4

    –

    –

    –

    100%

    25%

    5%

    5

    –

    –

    –

    –

    100%

    5%

    6

    –

    –

    –

    –

    –

    100%

  • For cross-bucket correlations γbc applying across IG and HY&NR categories, these correlations are divided by 2.
  • For cross-bucket correlations γbc applying across bucket 13 and another bucket, γbc = 0%.

Excel

orto see the example. The registration is free.