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[null,"Trade details",null,null,"CEM",null,null,"SA-CVA Sensitivities and Risk Weights"]
[null,"Start Date",0,null,"Add On",{"$f":"IF(Maturity>1,0.5%,0)+IF(Maturity>5,1%,0)","v":1.4999999999999999E-2},null,null,null,"Sensitivity","Weight"]
[null,"Maturity",10,null,"EAD",{"$f":"MAX(MTM-Collateral,0)+AddOn_CEM","v":1.4999999999999999E-2},null,"Credit Delta","6M",{"$f":"R47","v":-1.9385771161348772E-3},{"$f":"RW_BACVA","v":0.05}]
[null,"Swap Rate",1.77E-2,null,null,null,null,null,"1Y",{"$f":"R48","v":4.1944255106370412E-3},{"$f":"RW_BACVA","v":0.05},null,null,null,"CCR Capital","CVA Capital"]
[null,"Pay/Rec","REC",null,"SA-CCR",null,null,null,"3Y",{"$f":"R49","v":-3.5214542590494662E-3},{"$f":"RW_BACVA","v":0.05},null,null,"CEM / Std",{"$f":"L27","v":8.1341194959876062E-4},{"$f":"L32","v":2.2002805508869539E-3}]
[null,"Par Swap Rate",{"$f":"R54","v":1.7711933449309172E-2},null,"Alpha",1.4,null,null,"5Y",{"$f":"R50","v":1.7875380831059058E-2},{"$f":"RW_BACVA","v":0.05},null,null,"SA-CCR / Std",{"$f":"L28","v":8.9614745693335815E-4},{"$f":"L33","v":2.4240802230529172E-3}]
[null,"Swap Rate Volatility",0.4,null,"Supervisory Duration",{"$f":"(EXP(-5%*StartDate)-EXP(-5%*Maturity))/5%","v":7.8693868057473315},null,null,"10Y",{"$f":"R51","v":8.0638145808750762E-3},{"$f":"RW_BACVA","v":0.05},null,null,"SA-CCR / BA-CVA",{"$f":"O13","v":8.9614745693335815E-4},{"$f":"L34","v":4.6445436523852657E-3}]
[null,"MTM",{"$f":"R55","v":-1.1120375348176972E-4},null,"MF",{"$f":"IF(Collateralised,1.5*SQRT(10/250),SQRT(MIN(Maturity,1)/1))","v":0.30000000000000004},null,"IR Delta","0-1 years",{"$f":"SUMIF(E28:E33,\"<=\"&1,R40:R45)","v":-1.3110993433832797E-4},1.7000000000000001E-2,null,null,"SA-CCR / SA-CVA",{"$f":"O14","v":8.9614745693335815E-4},{"$f":"L35","v":2.0919484417667687E-3}]
[null,"Collateralised?",true," ","AddOn",{"$f":"0.5%*S_Dur*MF","v":1.1804080208620999E-2},null,null,"1-5 year",{"$f":"SUMIF(E28:E33,\"<=\"&5,R40:R45)-J15","v":-6.5465242146109165E-3},1.2699999999999999E-2]
[null,"Collateral Held",{"$f":"IF(Collateralised,MTM,0)","v":-1.1120375348176972E-4}," ","RC",{"$f":"MAX(MTM-Collateral,0)","v":0},null,null,"> 5 years",{"$f":"SUM(R40:R45)-J16-J15","v":1.6488874185467232E-2},1.06E-2]
[null,null,null," ","Multiplier",{"$f":"MIN(1,5%+95%*EXP((MTM-Collateral)/(2*(1-5%)*AddOn)))","v":1},null,"IR Vega",null,{"$f":"R46","v":2.8090307576564489E-4},{"$f":"55%*SQRT(6)","v":1.3472193585307479}]
[null,"Regulatory Details",null," ","PFE",{"$f":"Multiplier*AddOn","v":1.1804080208620999E-2}]
[null,"Rating","A"," ","EAD (SA-CCR)",{"$f":"Alpha*(RCost+PFE)","v":1.6525712292069398E-2},null,null,null,null,"SA-CVA Components"]
[null,"Sector","Financials including government-backed financials"," ",null,null,null,null,null,null,"Multiplier",1.25]
[null,"FRTB Option","Option1",null,"BA-CVA",null,null,"CVA Inputs (for SA-CVA)",null,null,"Credit spread",{"$f":"SACVAMultiplier*SQRT(MMULT(TRANSPOSE(CreditDeltas),MMULT(CreditDeltaCorrMat,CreditDeltas)))*RW_BACVA","v":1.4552143702170413E-3}]
[null,"Std CVA Weight",{"$f":"VLOOKUP(C20,E41:F47,2,FALSE)","v":8.0000000000000002E-3},null,"Risk Weight",{"$f":"VLOOKUP(Sector,SectorWeights,2+IF(FRTBOption=\"Option1\",2,0)+IF(FRTBOption=\"Option2\",4,0)+IF(MATCH(Rating,Ratings,0)>4,1,0),FALSE)","v":0.05},null,"Tenor","Spread",null,"IR Delta",{"$f":"SACVAMultiplier*SQRT(MMULT(TRANSPOSE((IRDeltas)*(IRDeltaWeights)),MMULT(IRDeltaCorrMat,(IRDeltas)*(IRDeltaWeights))))","v":1.6368649462184461E-4}]
[null,"Std Risk Weight",{"$f":"VLOOKUP(C20,B41:C48,2,FALSE)","v":0.5},null,"Exposure Multiplier",1,null,0.5,1.1999999999999999E-3,null,"IR Vega",{"$f":"SACVAMultiplier*IRVega*IRVegaWeight","v":4.7304757692788273E-4}]
[null,"Correlation Multiplier","NO",null,null,null,null,1,1.8E-3]
[null,"PD (IRB)",1E-3,null,"Interest Rates",null,null,3,5.0000000000000001E-3,null,"CCR Capital Charge"]
[null,"Recovery (IRB)",0.4,null,"Tenor","Spot Rate",null,5,9.1999999999999998E-3,null,"CEM",{"$f":"(1-Recovery)*1.06*PD99.9*EAD_CEM*MA","v":8.1341194959876062E-4}]
[null,null,null,null,0,8.0000000000000002E-3,null,10,1.35E-2,null,"SA-CCR",{"$f":"(1-Recovery)*1.06*PD99.9*EAD_SACCR*MA","v":8.9614745693335815E-4}]
[null,"IRB Calculations",null,null,1,9.1999999999999998E-3,null,"LGD calib",0.6]
[null,"Rho",{"$f":"(0.12*(1-EXP(-50*PDef))/(1-EXP(-50))+0.24*(1-(1-EXP(-50*PDef))/(1-EXP(-50))))*IF(CorrelationMultiplier=\"YES\",1.25,1)","v":0.23414753094008567},null,3,1.18E-2,null,"LGD CVA",0.6,null,"CVA Capital Charge"]
[null,"PD(99.9%)",{"$f":"NORMSDIST((NORMSINV(PDef)+SQRT(Rho)*NORMSINV(99.9%))/SQRT(1-Rho))-PDef","v":3.3191152357221657E-2},null,5,1.4E-2,null,null,null,null,"Eff maturity",{"$f":"Maturity*(1-EXP(-5%*Maturity))/(Maturity*5%)","v":7.8693868057473315}]
[null,"Reg Maturity",{"$f":"MIN(Maturity,5)","v":5},null,7,1.6E-2,null,"CVA ",null,null,"CEM",{"$f":"EAD_CEM*Weight*2.33*EffectiveMaturity","v":2.2002805508869539E-3}]
[null,"b(PD)",{"$f":"(0.11852-0.05478*LN(PDef))^2","v":0.24693627853078248},null,10,1.7999999999999999E-2,null,"CVA ",{"$f":"R52","v":2.8105519461548838E-4},null,"Std",{"$f":"EAD_SACCR*Weight*2.33*EffectiveMaturity","v":2.4240802230529172E-3}]
[null,"MA",{"$f":"(1+(RegMaturity-2.5)*bFac)/(1-1.5*bFac)","v":2.5688564882644869},null,null,null,null,"CVA (bp pa)",{"$f":"R53*10000","v":0.37770646969165345},null,"BA-CVA",{"$f":"BACVAExpMult*RW_BACVA/Alpha*EAD_SACCR*EffectiveMaturity","v":4.6445436523852657E-3}]
[null,null,null,null,null,null,null,null,null,null,"SA-CVA",{"$f":"SUM(BucketedCapitalCharges)","v":2.0919484417667687E-3}]
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[]
[]
[]
[null,"Standardised Approach Risk Weights",null,null,"CVA Capital Charge Risk Weights",null,null,"BA-CVA and SA-CVA Risk Weights",null,null,null,null,null,null,null,null,"IRDelta",{"$f":"CalcCVAIRSGreeks(IRCurve,CreditCurve,LGDCalib,LGDCVA,SwapRate,StartDate,Maturity,PayRec,IRVol,Collateralised)","v":-2.2016074742903409E-5}]
[null,"AAA",0.2,null,"AAA",7.0000000000000001E-3,null,null,"Original",null,"Option 1",null,"Option 2",null,null,null,null,-1.0909385959542457E-4]
[null,"AA",0.2,null,"AA",7.0000000000000001E-3,null,null,"IG","NIG","IG","NIG","IG","NIG",null,null,null,-2.5775898796224963E-3]
[null,"A",0.5,null,"A",8.0000000000000002E-3,null,"Sovereigns including central banks, multilateral development banks",8.7999999999999995E-2,0.20399999999999999,5.0000000000000001E-3,0.03,8.9999999999999993E-3,3.6999999999999998E-2,null,null,null,-3.9689343349884202E-3]
[null,"BBB",1,null,"BBB",0.01,null,"Local government, government-backed non-financials, education, public administration, ",8.7999999999999995E-2,0.20399999999999999,0.01,0.04,1.2E-2,0.04,null,null,null,-9.271993458673005E-3]
[null,"BB",1,null,"BB",0.02,null,"Financials including government-backed financials",0.10199999999999999,0.17299999999999999,0.05,0.12,6.0999999999999999E-2,0.12,null,null,null,2.5760867644140234E-2]
[null,"B",1.5,null,"B",0.03,null,"Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying",7.0999999999999994E-2,0.13,0.03,7.0000000000000007E-2,3.6999999999999998E-2,7.0000000000000007E-2,null,null,"IR Vega",2.8090307576564489E-4]
[null,"CCC",1.5,null,"CCC",0.1,null,"Consumer goods and services, transportation and storage, administrative and support service activities",6.0999999999999999E-2,0.14399999999999999,0.03,8.5000000000000006E-2,3.6999999999999998E-2,8.5000000000000006E-2,null,null,"Credit Delta",-1.9385771161348772E-3]
[null,"unrated",1,null,null,null,null,"Technology, telecommunications",5.0999999999999997E-2,0.13,0.02,5.5E-2,2.4E-2,5.5E-2,null,null,null,4.1944255106370412E-3]
[null,null,null,null,null,null,null,"Health care, utilities, professional and technical activities",4.1000000000000002E-2,8.6999999999999994E-2,1.4999999999999999E-2,0.05,1.7999999999999999E-2,0.05,null,null,null,-3.5214542590494662E-3]
[null,"Interest Rate Delta Correlation Matrix",null,null,null,null,null,"Indices spanning multiple buckets",4.1000000000000002E-2,8.6999999999999994E-2,"n/a","n/a","n/a","n/a",null,null,null,1.7875380831059058E-2]
[null,null,{"$f":"TRANSPOSE(I15:I17)","v":"0-1 years"},"1-5 year","> 5 years",null,null,null,null,null,null,null,null,null,null,null,null,8.0638145808750762E-3]
[null,{"$f":"TRANSPOSE(C51:E51)","v":"0-1 years"},1,0.7,0.3,null,null,null,null,null,null,null,null,null,null,null,"CVA",2.8105519461548838E-4]
[null,"1-5 year",{"$f":"D52","v":0.7},1,0.7,null,null,null,null,null,null,null,null,null,null,null,"CVA (spread)",3.7770646969165347E-5]
[null,"> 5 years",{"$f":"E52","v":0.3},{"$f":"E53","v":0.7},1,null,null,null,null,null,null,null,null,null,null,null,"Par swap Rate",1.7711933449309172E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"MTM",-1.1120375348176972E-4]
[null,"Credit Spread Delta Correlation Matrix",null,null,null,null,null,null,"Correlation Between Risk Factors"]
[null,null,"6M","1Y","3Y","5Y","10Y",null,null,{"$f":"TRANSPOSE(I58:I60)","v":"Credit delta"},"IR Delta","IR Vega"]
[null,{"$f":"TRANSPOSE(C57:G57)","v":"6M"},1,0.65,{"$f":"D58","v":0.65},{"$f":"E58","v":0.65},{"$f":"F58","v":0.65},null,"Credit delta",1,1,1]
[null,"1Y",{"$f":"D58","v":0.65},1,{"$f":"E58","v":0.65},{"$f":"F58","v":0.65},{"$f":"G58","v":0.65},null,"IR Delta",{"$f":"K58","v":1},1,1]
[null,"3Y",{"$f":"E58","v":0.65},{"$f":"E59","v":0.65},1,{"$f":"F59","v":0.65},{"$f":"G59","v":0.65},null,"IR Vega",{"$f":"L58","v":1},{"$f":"L59","v":1},1]
[null,"5Y",{"$f":"F58","v":0.65},{"$f":"F59","v":0.65},{"$f":"F60","v":0.65},1,{"$f":"G60","v":0.65}]
[null,"10Y",{"$f":"G58","v":0.65},{"$f":"G59","v":0.65},{"$f":"G60","v":0.65},{"$f":"G61","v":0.65},1]

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[null,"Default Probability 1",0.01]
[null,"Default Probability 2",0.02]
[null,"Correlation",0.5]
[null,"Joint default probability",{"$f":"BivN(NORMSINV(C9),NORMSINV(C10),C11)","v":2.0597474771687782E-3}]