Document ID: chunk:federal_register_of_legislation:F2023L01599:front:0:p11
Version: federal_register_of_legislation:F2023L01599
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Character Range: 27228–27770

hedge is denoted by the subscript j = 1,2,3 …
An ADI that has purchased more than one CDS index protection to hedge CVA risk must replace MindDindBind in the formula above by the sum over all such hedges:

where each hedge is denoted by the subscript j = 1,2,3 …
17.         For the purposes of calculating the CVA risk capital charge, an ADI must determine the weight for a counterparty or credit index by its credit rating grade according to Table 1 below.
Table 1: CVA risk capital formula weights
Long term credit rating grade  Weight (%)