- 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

- Risk weights RW k are the same for all tenors and depend on the
counterparty’s bucket according to one of two options:
IG Bucket

Risk weight – Option 1

Risk weight – Option 2

1

2.5%

4.3%

2

5%

5%

3

3.5%

3.5%

4

3%

3%

5

2.5%

2.5%

6

2%

2%

HY/NR Bucket

Risk weight – Option 1

Risk weight – Option 2

7

10%

10%

8

12%

8.5%

9

9%

6.4%

10

10%

7.1%

11

9%

6.4%

12

6%

4.2%

13

12%

8.5%

## Excel

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