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

Equity - 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 $γ_{b c} = 15 %$ for all cross-bucket pairs that fall within bucket numbers 1 to 10. $γ_{b c}$ = 0% for all cross-bucket pairs that include bucket 11.