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Exposures at default

BA

Download sample file: ba-cva-credit-exposures-risk-data.csv

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. Y

See also