- 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
- Counterparty credit spread delta risk factors are absolute shifts of credit spreads of individual counterparties at the following tenors: 0.5 years, one year, three years, five years and 10 years.
- For a given counterparty and tenor point, the sensitivities are measured by shifting the relevant credit spread by 1 basis point and dividing the resulting change in the aggregate CVA by 1 basis point.
- Two sets of risk weights scaled to the liquidity horizons are specified for SA-CVA.
- Correlations between different tenors for the same counterparty: 65%.
- Correlations between any tenors of different counterparties: 35%.
