| 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 |
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.