RW

BA

Download sample file: ba-cva-risk-weights.csv

The file is used to set risk weights per Sector and Credit quality.

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Indicates the start date for this property. Subsequent entries with later dates will apply an end to this date range. 2018-09-28
ParameterSet Y Y String Specifies the parameter set to which the RiskWeight belongs BCBS
CreditQuality Y N String Credit quality of a CVA counterparty or hedge reference name: IG, HY, NR IG
Sector Y N String Sector of a CVA counterparty or of the hedge reference name Sovereigns Including Central Banks
RiskWeight N N Double Risk weight as defined in [MAR50.16] of the Basic Approach for CVA 0.005