Minimum Capital Requirements for Market Risk

CSR securitisation: CTP risk factors (1) For securitisation instruments that meet the definition of a CTP as set out in [6.5] , the sensitivities of delta risk factors (ie CS01) must be computed with respect to the names underlying the securitisation or nth-to-default instrument. (2) Delta CSR securitisation (CTP): the CSR correlation trading delta risk factors are defined along two dimensions: (a) The relevant underlying credit spread curves (bond and CDS); and (b) The following tenors: 0.5 years, 1 year, 3 years, 5 years and 10 years, to which delta risk factors are assigned. (3) Vega CSR securitisation (CTP): the vega risk factors are the implied volatilities of options that reference CTP credit spreads as underlyings (bond and CDS), as defined along one dimension, the maturity of the option. This is defined as the implied volatility of the option as mapped to one or several of the following maturity tenors: 0.5 years, 1 year, 3 years, 5 years and 10 years. (4) Curvature CSR securitisation (CTP): the CSR correlation trading curvature risk factors are defined along one dimension, the relevant underlying credit spread curves (bond and CDS). For instance, the bond-inferred spread curve of a given name within an iTraxx series and the CDS-inferred spread curve of that given underlying would be considered a single spread curve. For the calculation of sensitivities, all the tenors are to be shifted in parallel. 7.12 Equity risk factors (1) Delta equity: the equity delta risk factors are: (a) all the equity spot prices; and (b) all the equity repurchase agreement rates (equity repo rates). (2) Vega equity: (a) The equity vega risk factors are the implied volatilities of options that reference the equity spot prices as underlyings as defined along one dimension, the maturity of the option. This is defined as the implied volatility of the option as mapped to one or several of the following maturity tenors: 0.5 years, 1 year, 3 years, 5 years and 10 years. (b) There is no vega risk capital requirement for equity repo rates. (3) Curvature equity: (a) The equity curvature risk factors are all the equity spot prices. (b) There is no curvature risk capital requirement for equity repo rates. Repo rate risk factors for fixed income funding instruments are subject to the GIRR capital requirement. A relevant repo curve should be considered by currency.