Minimum Capital Requirements for Market Risk

CSR non-securitisation risk factors (1) Delta CSR non-securitisation: the CSR non-securitisation delta risk factors are defined along two dimensions: (a) The relevant issuer credit spread curves (bond and CDS); and (b) The following tenors: 0.5 years, 1 year, 3 years, 5 years and 10 years. (2) Vega CSR non-securitisation: the vega risk factors are the implied volatilities of options that reference the relevant credit issuer names as underlyings (bond and CDS); further 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. (3) Curvature CSR non-securitisation: the CSR non-securitisation curvature risk factors are defined along one dimension: the relevant issuer credit spread curves (bond and CDS). For instance, the bond-inferred spread curve of an issuer and the CDS-inferred spread curve of that same issuer should be considered a single spread curve. For the calculation of sensitivities, all tenors (as defined for CSR) are to be shifted in parallel. For callable bonds, options on sovereign bond futures and bond options, the delta, vega and curvature capital requirements must be computed for both GIRR and CSR. Bond and CDS credit spreads are considered distinct risk factors under [7.19](1), and pkɭ (basis) referenced in [7.54] and [7.55] is meant to capture only the bond-CDS basis. 7.10 CSR securitisation: non-CTP risk factors (1) For securitisation instruments that do not meet the definition of CTP as set out in [6.5] (ie, non-CTP), the sensitivities of delta risk factors (ie CS01) must be calculated with respect to the spread of the tranche rather than the spread of the underlying of the instruments. (2) Delta CSR securitisation (non-CTP): the CSR securitisation delta risk factors are defined along two dimensions: (a) Tranche credit spread curves; 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 (non-CTP): Vega risk factors are the implied volatilities of options that reference non-CTP credit spreads as underlyings (bond and CDS); further 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 (non-CTP): the CSR securitisation curvature risk factors are defined along one dimension, the relevant tranche credit spread curves (bond and CDS). For instance, the bond-inferred spread curve of a given Spanish residential mortgage- backed security (RMBS) tranche and the CDS-inferred spread curve of that given Spanish RMBS tranche would be considered a single spread curve. For the calculation of sensitivities, all the tenors are to be shifted in parallel.