The file provides the risk data required by the Reduced BA approach, specifically exposures at default and effective maturities of netting sets, falling under CVA capital requirements.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
String with format ‘YYYY-MM-DD’
Risk value date
2018-09-28
NettingSetId
Y
N
String
Identifier of a netting set
72394
EADCcy
N
N
String
Currency of EAD value
EUR
EAD
N
N
Double
Exposure at default (EAD) for a netting set calculated in the same way as the bank calculates it for CCR Capital
23479.34
EffectiveMaturity
N
N
Double
Effective maturity of a netting set in years, in accordance with [MAR50.15]
2.3
UnderIMM
N
N
String, ‘Y’ and ‘N’
This field is ‘Y’ if the EAD was computed using IMM approach.