Carved out netting sets

BA SA

Download sample file: sa-cva-carved-nettingsets.csv

The file lists the netting sets carved out from SA approach (see [MAR50.8]).

If the file is missing, no netting sets are carved out from SA-CVA. If this file exists with dates where the sa-cva-approval.csv file said ‘N’ (no approval), it will be ignored.

Field Key Null FieldType Description Example
AsOfDate Y N Date, ‘YYYY-MM-DD’ Risk value date 2018-09-28
NettingSetIds N Y String Array or String with set format, separated by semicolons List of netting sets excluded from SA-CVA (to be treated according to BA-CVA) 72394;374269;374295

See also