| sa.girr.delta.differentcurve.correlation |
0.999 |
2016-01-01 |
|
[MAR21.45] |
Multiplier to the GIRR delta rho correlations, for aggregating between two weighted sensitivities and within the same bucket with the same tenor but different curves. Also used for curvature where all tenors are moved at the same time. |
| sa.girr.delta.different-vertex.correlation-floor |
0.4 |
2016-01-01 |
|
[MAR21.46] |
Floor parameter defined in the footnote 13 to [MAR21.46] |
| sa.girr.delta.different-vertex.theta |
0.03 |
2016-01-01 |
|
[MAR21.46] |
Theta parameter defined in the footnote 13 to [MAR21.46] |
| sa.girr.delta.different-vertex-and-curve.correlation |
0.999 |
2016-01-01 |
|
[MAR21.47] |
Multiplier to the GIRR delta rho correlations, for aggregating between two weighted sensitivities and within the same bucket with different tenors and different curves |
| sa.girr.delta.inflation-vs-yield.correlation |
0.4 |
2016-01-01 |
|
[MAR21.48] |
GIRR delta rho correlation between a weighted sensitivity to the inflation curve and a weighted sensitivity to a given tenor of the relevant yield curve |
| sa.girr.delta.basis-vs-yield.correlation |
0 |
2016-01-01 |
|
[MAR21.49](1) |
GIRR delta rho correlation parameter between a weighted sensitivity to a cross-currency basis curve and a weighted sensitivity to a given tenor of the relevant yield curve |
| sa.girr.delta.basis-vs-inflation.correlation |
0 |
2016-01-01 |
|
[MAR21.49](2) |
GIRR delta rho correlation parameter between a weighted sensitivity to a cross-currency basis curve and a weighted sensitivity to inflation curve |
| sa.girr.delta.basis-vs-basis.correlation |
0 |
2016-01-01 |
|
[MAR21.49](3) |
GIRR delta rho correlation parameter between a weighted sensitivity to a cross-currency basis curve and a weighted sensitivity to another cross-currency basis curve (if relevant). |
| sa.girr.delta.different-ccy.correlation |
0.5 |
2016-01-01 |
|
[MAR21.50] |
GIRR delta gamma correlation parameter, used for aggregating GIRR risk positions across different buckets (ie different currencies) |
| sa.girr.delta.rw.major.currency.adjustment |
1.4142135623731 |
2016-01-01 |
|
[MAR21.44] |
Optional GIRR delta risk weight divider |
| sa.csr-nonsec.delta.rho-name.correlation |
0.35 |
2016-01-01 |
|
[MAR21.54](1) |
CSR non-Sec rho_name correlation parameter |
| sa.csr-nonsec.delta.rho-tenor.correlation |
0.65 |
2016-01-01 |
|
[MAR21.54](2) |
CSR non-Sec rho_tenor correlation parameter |
| sa.csr-nonsec.delta.rho-basis.correlation |
0.999 |
2016-01-01 |
|
[MAR21.54](3) |
CSR non-Sec rho_basis correlation parameter |
| sa.csr-nonsec.delta.rho.index.correlation |
0.8 |
2016-01-01 |
|
[MAR21.55](1) |
CSR non-Sec rho_name correlation parameter for buckets 17 and 18 |
| sa.csr-nonsec.delta.gamma-rating.correlation |
0.5 |
2016-01-01 |
|
[MAR21.57](1) |
CSR non-Sec gamma_rating correlation parameter |
| sa.csr-sec-ctp.delta.rho-basis.correlation |
0.99 |
2016-01-01 |
|
[MAR21.60] |
CSR Sec CTP rho_basis correlation parameter defined in [MAR21.60] |
| sa.csr-sec-non-ctp.delta.non-senior.rw-scale |
1.25 |
2016-01-01 |
|
[MAR21.65] |
Multiplication factor defined in [MAR21.65] which is used to CSR Sec non-CTP risk weights for buckets 9-16 |
| sa.csr-sec-non-ctp.delta.high-yield.rw-scale |
1.75 |
2016-01-01 |
|
[MAR21.66] |
Multiplication factor defined in [MAR21.66] which is used to CSR Sec non-CTP risk weights for buckets 17-24 |
| sa.csr-sec-non-ctp.delta.other-sector.rw |
0.035 |
2016-01-01 |
|
[MAR21.67] |
CSR Sec non-CTP delta risk weight for bucket 25 set in [MAR21.67] |
| sa.csr-sec-non-ctp.delta.rho-tranche.correlation |
0.4 |
2016-01-01 |
|
[MAR21.68] |
CSR Sec non-CTP rho_tranche parameter set in MAR21.68 |
| sa.csr-sec-non-ctp.delta.rho-tenor.correlation |
0.8 |
2016-01-01 |
|
[MAR21.68] |
CSR Sec non-CTP rho_tenor parameter set in MAR21.68 |
| sa.csr-sec-non-ctp.delta.rho-basis.correlation |
0.999 |
2016-01-01 |
|
[MAR21.68] |
CSR Sec non-CTP rho_basis parameter set in MAR21.68 |
| sa.csr-sec-non-ctp.delta.different-buckets.correlation |
0 |
2016-01-01 |
|
[MAR21.70] |
CSR Sec non-CTP gamma correlation for aggregating delta risk positions across buckets 1 to 24 |
| sa.csr-sec-non-ctp.delta.other-bucket.correlation |
0 |
2016-01-01 |
|
[MAR21.71] |
Gamma “other” parameter value is used for the correlation between the CSR Sec non-CTP “other” buckets and the buckets 1-24. See [MAR21.71] interpretation note in the release notes. |
| sa.csr-sec-non-ctp.delta.other-bucket.added |
TRUE |
2016-01-01 |
|
[MAR21.45](5) |
When evaluating the CSR Sec non-CTP Delta (or Vega) Risk Charge [MAR21.4](5), whether to add the “other” bucket Delta (or Vega) Risk Position after taking the square root (“true”), or include the “other” bucket with the rest inside the square root (“false”). See [MAR21.71] interpretation note in the release notes. |
| sa.csr-sec-non-ctp.curvature.other-bucket.added |
TRUE |
2016-01-01 |
|
[MAR21.5](4) |
When evaluating the CSR Sec non-CTP Curvature Risk Charge [MAR21.5](4), whether to add the “other” bucket CurvatureRisk Position after taking the square root (“true”), or include the “other” bucket with the rest inside the square root (“false”). See [MAR21.71] interpretation note in the release notes. |
| sa.equity.spot-to-repo.correlation |
0.999 |
2016-01-01 |
|
[MAR21.78](1) |
Equity rho correlation for the same name when one risk factor is spot and the other is repo |
| sa.equity.large-emerging-market.correlation |
0.15 |
2016-01-01 |
|
[MAR21.78](2)(a) |
Equity rho correlation between two sensitivities within the same bucket that fall under large market cap, emerging market economy (bucket number 1, 2, 3 or 4). |
| sa.equity.large-advanced.correlation |
0.25 |
2016-01-01 |
|
[MAR21.78](2)(b) |
Equity rho correlation between two sensitivities within the same bucket that fall under large market cap, advanced economy (bucket number 5, 6, 7 or 8). |
| sa.equity.small-emerging-market.correlation |
0.075 |
2016-01-01 |
|
[MAR21.78](2)(c) |
Equity rho correlation between two sensitivities within the same bucket that fall under small market cap, emerging market economy (bucket number 9). |
| sa.equity.small-advanced.correlation |
0.125 |
2016-01-01 |
|
[MAR21.78](2)(d) |
Equity rho correlation between two sensitivities within the same bucket that fall under small market cap, advanced economy (bucket number 10). |
| sa.equity.index.correlation |
0.8 |
2016-01-01 |
|
[MAR21.78](2)(e) |
Equity rho correlation between two sensitivities within the same bucket that fall under either index bucket (bucket number 12 or 13). |
| sa.equity.spot-to-repo.different-issuer.correlation |
0.999 |
2016-01-01 |
|
[MAR21.78](4) |
Multiplier for the Equity rho correlation for different names when one risk factor is spot and the other is repo |
| sa.equity.delta.gamma.correlation |
0.15 |
2016-01-01 |
|
[MAR21.80](1) |
Equity gamma correlation for buckets 1-10 |
| sa.equity.delta.gamma.index.correlation |
0.75 |
2016-01-01 |
|
[MAR21.80](3) |
Equity gamma correlation for buckets 12 and 13 |
| sa.equity.delta.gamma.index-cross.correlation |
0.45 |
2016-01-01 |
|
[MAR21.80](4) |
Gamma correlation between an Equity index bucket and buckets 1 to 10 |
| sa.commodity.rho-tenor.correlation |
0.99 |
2016-01-01 |
|
[MAR21.83](2) |
Commodity rho_tenor correlation parameter |
| sa.commodity.rho-basis.correlation |
0.999 |
2016-01-01 |
|
[MAR21.83](3) |
Commodity rho_basis correlation parameter |
| sa.commodity.correlation |
0.2 |
2016-01-01 |
|
[MAR21.85](1) |
Commodity gamma correlation parameter for buckets 1 to 10 |
| sa.commodity.other-commodity.correlation |
0 |
2016-01-01 |
|
[MAR21.85](2) |
Commodity gamma correlation parameter for bucket 11 |
| sa.fx.delta.rw |
0.15 |
2016-01-01 |
|
[MAR21.87] |
A unique relative risk weight that applies to all the FX sensitivities. |
| sa.fx.delta.rw.selected.pair.adjustment |
1.4142135623731 |
2016-01-01 |
|
[MAR21.88] |
Divider for specific currencies |
| sa.fx.correlation |
0.6 |
2016-01-01 |
|
[MAR21.89] |
FX gamma correlation parameter |
| sa.fx.curvature.divider |
1.5 |
2016-01-01 |
|
[MAR21.98] |
Value by which to divide the Curvature $CVR_k^+$ and $CVR_k^-$ values, when they do not reference the reporting (or base) currency |
| sa.vega.rw |
0.55 |
2016-01-01 |
|
[MAR21.92] |
RW_sigma parameter used to determine vega risk weights (see footnote 24 under [MAR21.92]) |
| sa.vega.rw.rounding-dp |
4 |
2016-01-01 |
|
[MAR21.92] |
Decimal places in $RW_k$ in [MAR21.92] |
| sa.vega.rho-option-maturity.alpha |
0.01 |
2016-01-01 |
|
[MAR21.93](1)(a) |
Alpha parameter in the GIRR vega rho_option maturity formula |
| sa.vega.rho-underlying-maturity.alpha |
0.01 |
2016-01-01 |
|
[MAR21.93](2)(a) |
Alpha parameter in the GIRR vega rho_underlying maturity formula |
| sa.correlation.stress.low |
0.75 |
2016-01-01 |
|
[MAR21.6](3) |
Multiplier used to obtain correlations under the “low correlations” scenario |
| sa.correlation.stress.high |
1.25 |
2016-01-01 |
|
[MAR21.6](2) |
Multiplier used to obtain correlations under the “high correlations” scenario |
| sa.drc.maturity.default |
0.25 |
2016-01-01 |
|
[MAR22.15] |
If maturity is not explicitly provided for a position, then the SA DRC calculation will use this default value in its maturity scaling calculation |
| sa.drc.maturity.min |
0.25 |
2016-01-01 |
|
[MAR22.15] |
Floor to the maturity value in the DRC SA maturity scaling calculations |
| sa.drc.maturity.max |
1 |
2016-01-01 |
|
[MAR22.15] |
Cap to the maturity value in the DRC SA maturity scaling calculations |
| sa.fx.reporting-currency |
EUR |
2016-01-01 |
|
|
Enables the definition of different reporting currencies for different jurisdictions if required. |
| sa.fx.base-currency |
EUR |
2016-01-01 |
|
[MAR21.14](b) |
Sets the base currency defined in [MAR21.14](b). Only used if sa.fx.use.base-currency is set to TRUE. |
| sa.fx.use.base-currency |
FALSE |
2016-01-01 |
|
[MAR21.14](b) |
Flag used to enable the base currency approach. If set to false, the sa.fx.base-currency parameter is ignored. |
| sa.fx.use.fx-divider |
FALSE |
2016-01-01 |
|
[MAR21.98] |
If this parameter is set to TRUE, then the CVR calculated as follows: $CVR = CVR_{divisor-eligible} / x + CVR_{non-eligible} $ where $x$ is defined bysa.fx.curvature.divider |
| sa.rrao.risk-weight.other |
0.001 |
2016-01-01 |
|
[MAR23.8](2)(b) |
RRAO risk weight for instruments bearing other residual risks specified |
| sa.rrao.risk-weight.exotic |
0.01 |
2016-01-01 |
|
[MAR23.8](2)(a) |
RRAO risk weight for instruments with an exotic underlying specified |
| sa.girr.delta.basis.risk-weight |
0.016 |
2016-01-01 |
|
[MAR21.43] |
GIRR delta risk weight for the cross-currency basis risk factors |
| sa.girr.delta.inflation.risk-weight |
0.016 |
2016-01-01 |
|
[MAR21.43] |
GIRR delta risk weight for the inflation risk factors |
| sa.girr.delta.vertex.correlation.rounding-dp |
3 |
2016-01-01 |
|
[MAR21.46] |
Decimal places in $\rho_{kl}$ in [MAR21.46] |
| sa.drc.sec-non-ctp.risk-weight-floor |
0.012 |
2016-01-01 |
|
[MAR22.34](1) |
Refers to BCBS 374 and the risk weights as set out in paragraphs 68-69 |
| sa.drc.sec-non-ctp.risk-weight-floor.stc |
0.012 |
2016-01-01 |
|
|
The risk weight floor for SEC-ERBA STC. |
| sa.drc.adjustment.apply |
false |
2016-01-01 |
|
|
Set to true to add the DRC Adjustments to the Gross JTD. |
| sa.drc.use-zero-risk-weight |
false |
2016-01-01 |
|
|
Since 3.1.1 Set to true to handle Zero Risk Weight DRC non-Sec exposures differently. |
| sa.drc.no-maturity-floor-when-offsetting |
false |
2016-01-01 |
|
|
Since 3.1.1 Set to true to turn off the DRC non-Sec Maturity Scaling 3M floor when offsetting. |
| sa.csr-nonsec.delta.risk-weight.covered-bonds.use-high-rating-alternative |
TRUE |
2016-01-01 |
|
[MAR21.53] |
If set to TRUE, then the calculation will use the alternative Risk Weight for CSR non-Sec covered bonds with rating higher than AA- (see footnote 17 under [MAR21.53]) |
| sa.csr-nonsec.delta.risk-weight.covered-bonds.high-rating-alternative |
0.015 |
2016-01-01 |
|
[MAR21.53] |
Covered bonds risk weight, if alternative risk weight is enabled according to the footnote 17 under the [MAR21.53] (see also parameter sa.csr-nonsec.delta.risk-weight.covered-bonds.use-high-rating-alternative) |
| sa.csr-nonsec.bucket.covered-bonds |
8 |
2016-01-01 |
|
[MAR21.53] footnote 17 |
CSR non-Sec bucket for Covered Bonds Sector |
| sa.other.bucket.equity |
11 |
2016-01-01 |
|
[MAR21.72] Table 9 |
Equity other bucket |
| sa.other.bucket.csr.ns |
16 |
2016-01-01 |
|
[MAR21.51] Table 3 |
CSR non-Sec other bucket |
| sa.other.bucket.csr.secctp |
16 |
2016-01-01 |
|
[MAR21.58] |
CSR Sec CTP other bucket |
| sa.other.bucket.csr.secnonctp |
25 |
2016-01-01 |
|
[MAR21.62] Table 7 |
CSR Sec non-CTP other bucket |
| sa.other.bucket.commodity |
11 |
2016-01-01 |
|
[MAR21.82] Table 11 |
Commodity other bucket |
| sa.index.buckets.equity |
12;13 |
2016-01-01 |
|
[MAR21.72] Table 9 |
Equity index buckets |
| sa.index.buckets.csr-ns |
17;18 |
2016-01-01 |
|
[MAR21.51] Table 3 |
CSR non-Sec index buckets |
| sa.girr.major-ccy-adjustment |
false |
2016-01-01 |
|
[MAR21.44] |
Whether or not to divide risk weights for major currencies by square root of 2. |
| sa.fx.major-ccy-adjustment |
false |
2016-01-01 |
|
[MAR21.88] |
Whether or not to divide risk weights for some currency pairs by square root of 2. |
| sa.vega.rw.rounding-dp |
4 |
2016-01-01 |
|
[MAR21.92] |
Number of decimal places to round formula results to achieve values in Table 13 |
| sa.girr.delta.vertex.correlation.rounding-dp |
3 |
2016-01-01 |
|
[MAR21.46] |
Number of decimal places to round formula results to achieve values in Table 2 |
| ima.es.confidence-level |
0.975 |
2016-01-01 |
|
[MAR33.3] |
Confidence level for calculating IMCC ES values |
| ima.var.confidence-level |
0.999 |
2016-01-01 |
|
[MAR33.20] |
Confidence level for calculating IMA DRC VaR |
| ima.rho.imcc |
0.5 |
2016-01-01 |
|
[MAR33.15] |
Value of rho used in IMCC calculations |
| ima.rho.ses |
0.6 |
2016-01-01 |
|
[MAR33.17] |
Value of rho used in SES calculations |
| ima.base-horizon |
10 |
2016-01-01 |
|
[MAR33.4] |
Base liquidity horizon for IMCC ES calculations |
| sa.girr.inflation-basis-adjustment |
true |
|
|
|
Boolean flag. If true to include inflation and cross-currency basis curves when dividing major currency risk weights by sqrt 2. If false these curves are excluded. |
| sa.csr-nonsec.bucket.covered-bonds |
10 |
2016-01-01 |
CRR2 |
|
|
| sa.other.bucket.csr.ns |
18 |
2016-01-01 |
CRR2 |
|
|
| sa.other.bucket.csr.secctp |
18 |
2016-01-01 |
CRR2 |
|
|
| sa.index.buckets.csr-ns |
19;20 |
2016-01-01 |
CRR2 |
|
|
| sa.drc.adjustment.apply |
true |
2016-01-01 |
CRR2 |
|
|
| sa.girr.inflation-basis-adjustment |
false |
2016-01-01 |
CRR2 |
|
|
| sa.drc.use-zero-risk-weight |
true |
2016-01-01 |
CRR2 |
|
Since 3.1.1 |
| sa.drc.no-maturity-floor-when-offsetting |
true |
2016-01-01 |
CRR2 |
|
Since 3.1.1 |