| 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 |
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.