SA-CVA or BA-CVA.
Both numbers on your own book, before you choose.

Approach selection

Which approach is cheaper depends on the book

SA-CVA recognises hedges and is more risk-sensitive, which lowers the charge on hedged, uncollateralised corporate books. It is not always the lower number: EU banks using internal-model exposures inside BA-CVA have reported lower capital under the basic approach, and our own comparisons show the same on collateralised or lightly hedged books. The right approach is a calculation on your own book. The Capital Study returns both numbers with the attribution within days.

Regulatory calendar

Timeline

Sensitivities by risk factor

The inputs to the capital number

Sensitivities by risk class, FX, rates and credit, for CVA, DVA and BCVA across the book, and for the regulatory CVA that SA-CVA aggregates, open to inspection line by line.

• Delta and vega by risk class
• CVA and eligible hedges
• Exportable for the regulatory return

The Capital Study

Down to the currency and the index

The same sensitivities per netting set, per currency and per index, so a capital number can be traced to the positions that drive it.

• Per netting set, per currency
• Per curve and index
• Table or chart

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And to every market quote

Sensitivities to each FX rate, swaption volatility and swap rate the book is marked on, per netting set, tens of thousands of rows on a million-trade book.

• FX rates, vols, swap rates
• Per netting set
• Filter, search, export

Benchmarks

Coverage

Vanilla and exotic derivatives across all asset classes, plus custom scripted payoffs. Any currency. CVA, DVA, BCVA, FVA with FCA and FBA, MVA, ColVA, KVA; initial margin under ISDA SIMM; expected exposure, ENE and PFE profiles, with and without initial margin. SA-CVA and BA-CVA capital with hedge recognition. SA-CCR exposure and capital, with collateral and initial margin recognised. Netting sets and CSA terms of all common types, variation and initial margin.