- 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
- The SA-CVA uses the sensitivities of regulatory CVA to counterparty credit spreads and market risk factors driving derivatives’ values as inputs.
- The primary hedge eligibility requirement is that the purpose of the transaction is mitigating CVA risk.
- All hedges satisfying this requirement are considered eligible throughout the FRTB-CVA framework except for the instruments that cannot be included in the IMA-TB (such as tranched credit derivatives).
- Specifically, the range of single-name instruments recognized as hedges of
counterparty credit spread risk of CVA has been widened to integrate:
- Proxy hedges, i.e. hedges which do not directly reference the counterparty.
- Market risk hedges, i.e. transactions that mitigate CVA sensitivities to market risk factors that drive exposure.
