Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of reference credit spread rates, as well as of an eligible hedge instrument to those risk factors, as follows:
where:
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= the sensitivities of the aggregate CVA to a reference credit spread rate risk factor;
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rcskt
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= the value of the reference credit spread rate risk factor k at maturity t;
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VCVA
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= the aggregate CVA calculated by the regulatory CVA model;
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x,y
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= risk factors other than ccskt
in VCVA
;
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= the sensitivities of the eligible hedge i to a reference credit spread rate risk factor;
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Vi
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= the pricing function of the eligible hedge i;
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w,z
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= risk factors other than ccskt
in the pricing function Vi
.
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