Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of foreign exchange spot 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 foreign exchange spot rate risk factor;
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FXk
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= the value of the foreign exchange spot rate risk factor k;
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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 FXk
in VCVA
;
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= the sensitivities of the eligible hedge i to a foreign exchange spot 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 FXk
in the pricing function Vi
.
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