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What is Atoti CVA-RC?

Atoti CVA-RC is a solution for computing Credit Valuation Adjustment (CVA) risk capital requirements. It implements the methodology defined in Chapter MAR50 of the Consolidated Basel Framework.

This page is intended for risk, capital, and regulatory reporting teams. Familiarity with CVA, Basel capital frameworks, and derivatives portfolios is expected.

Atoti CVA-RC supports two regulatory approaches:

  • Basic Approach for CVA risk, also called BA-CVA.
  • Standardised Approach for CVA risk, also called SA-CVA.

Atoti CVA-RC is not a risk engine. Upstream systems must provide sensitivities, exposures, hedge data, and reference data. Hedge eligibility is assumed to be validated upstream.

Atoti CVA-RC is relevant for banks that calculate, analyze, and report CVA risk capital across derivatives portfolios.

Why use Atoti CVA-RC?

Atoti CVA-RC provides a ready-to-use implementation of the MAR50 capital framework. Key benefits include:

  • BA-CVA and SA-CVA available side by side in a single cube.
  • Full transparency through interim calculation measures.
  • Drill-down into hedges and netting sets that contribute to the capital charge.
  • Support for multiple supervisory parameter sets across jurisdictions.
  • What-if simulations to override parameters or test stress scenarios.
  • Configurable capital treatment per netting set with time-dependent settings.

What is Atoti CVA-RC?

The solution includes the following components.

Data model

Atoti CVA-RC includes a predefined data model that covers the main regulatory inputs.

Portfolio risk data includes:

  • CVA sensitivities.
  • Exposures at default.
  • Hedge risk data.

Reference data includes:

  • Netting set attributes.
  • Trade attributes.
  • Legal relationships.
  • Reference names.

Configuration data includes:

  • Bucket mappings.
  • Regulatory parameters.
  • Correlations.
  • Risk weights.

The model also includes FX rates for currency conversion.

The data model can be adapted to internal source formats. The solution supports both its native input format and the CRIF format for SA-CVA sensitivities.

Regulatory calculations

The solution implements the two CVA risk capital approaches defined in MAR50.

BA-CVA is the default approach. It uses exposure at default, effective maturity, and eligible hedge data to calculate capital.

When hedge data is provided, the Full BA-CVA charge combines:

  • A Reduced BA-CVA component.
  • A Hedged BA-CVA component.

These components are combined using the regulatory weighting formula.

SA-CVA requires supervisory approval. It takes CVA sensitivities as input and applies regulatory risk weights.

Weighted sensitivities are aggregated into:

  • Bucket-level capital charges.
  • Risk-class-level capital charges.

Aggregation is performed across delta and vega sensitivity types.

Netting sets can be carved out from SA-CVA and treated under BA-CVA.

The aggregate capital measure combines both approaches:

  • CVARC = CVARC BA + CVARC SA.

Cube structure

The cube organizes data into dimensions and measures aligned with MAR50.

Dimensions include:

  • Counterparties.
  • Netting sets.
  • Trades.
  • Risk classes.
  • Buckets.
  • Risk factors.
  • Dates.

Measures include:

  • BA-CVA capital, exposures, interim results, and supervisory parameters.
  • SA-CVA sensitivities, weighted sensitivities, bucket-level charges, and capital.
  • Aggregate measures that combine BA-CVA and SA-CVA based on capital treatment.

What-if and workflows

Atoti CVA-RC uses the workflow capabilities of the Atoti platform.

Supported workflows include:

  • What-if branches to override supervisory parameters and re-aggregate results.
  • Experimental branches for stress-test sensitivity uploads.
  • Sign-off workflows to review and approve data updates.

Which use cases does Atoti CVA-RC support?

Atoti CVA-RC is designed for CVA risk capital calculation and analysis. Common use cases include:

  • Daily CVA risk capital monitoring and reporting.
  • Comparison of BA-CVA and SA-CVA results.
  • Methodology selection and impact analysis.
  • Jurisdictional parameter analysis.
  • Stress testing and parameter impact assessment.
  • Hedge effectiveness analysis and capital relief assessment.
  • Netting set level capital attribution and drill-down.

How does Atoti CVA-RC relate to other solutions?

Atoti CVA-RC is built on the Atoti platform. It uses the Atoti query engine, semantic layer, and workflow tools.

It can be combined with other Atoti solutions.

Common integrations include:

  • Atoti for Market Risk, for CVA portfolio Greek-based P&L and Value at Risk analysis.
  • Atoti for FRTB, for comprehensive market risk capital, including treatment of ineligible hedges.