- 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 | Size | Region | Sector |
| 8 | Large | Advanced economies | Financials including gov’t-backed financials, real estate activities, technology |
| 9 | Small | Emerging market economies | All sectors described under bucket numbers 1, 2, 3, and 4 |
| 10 | Small | Advanced economies | All sectors described under bucket numbers 5, 6, 7, and 8 |
| 11 | Not Applicable | Not Applicable | Other Sector |
- For equity delta and vega risks, cross-bucket correlation for all cross-bucket pairs that fall within bucket numbers 1 to 10. = 0% for all cross-bucket pairs that include bucket 11.