For heads of capital
If your bank hedges its derivatives book and sits on BA-CVA, you are paying capital on the hedges. The study shows what SA-CVA would do to the number, within days, on your own book.
UK Basel 3.1 applies from 1 January 2027; the corporate exemption ends for new trades. Approach, vendor and approval work all precede it.
SA-CVA recognises eligible CDS hedges and the rate and FX hedges of the exposure. BA-CVA recognises CDS hedges only, or none under the reduced version, so hedging to cut P&L volatility can raise capital.
Norma runs beside what you have. Hosted analytics dashboards for a capital team, or the engine in your tenancy.
SA-CVA, BA-CVA, SA-CCR and KVA
SA-CVA and BA-CVA side by side, sensitivities to every supervisory risk factor, SA-CCR with collateral and margin recognised.
The Capital StudyPFE, limits, what-if and stress
PFE with and without initial margin, limit usage, what-if and stress, recomputed on demand.
DemoIf your bank hedges its derivatives book and sits on BA-CVA, you are paying capital on the hedges.
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