SA-CVA and BA-CVA
on your own book.

What you send

• Trades: FpML, CSV templates or your trade-system export
• Netting sets and CSA terms
• CDS spreads, proxy mapping, existing CVA hedges, counterparty sector and rating
• Curves, vol surfaces and cubes, FX, as of date
• Current CVA RWA for reconciliation

What comes back

SA-CVA and BA-CVA capital on the agreed scope of your book side by side, hedge benefit, netting-set and counterparty attribution, and the uncovered tail shown explicitly with its charge under each approach.

Results come as a written report for your capital committee and and a working session on your numbers.