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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.
FieldKeyNullFieldTypeDescriptionExample
AsOfDateYNString with format ‘YYYY-MM-DD’Risk value date2018-09-28
NettingSetIdYNStringIdentifier of a netting set72394
EADCcyNNStringCurrency of EAD valueEUR
EADNNDoubleExposure at default (EAD) for a netting set calculated in the same way as the bank calculates it for CCR Capital23479.34
EffectiveMaturityNNDoubleEffective maturity of a netting set in years, in accordance with [MAR50.15]2.3
UnderIMMNNString, ‘Y’ and ‘N’This field is ‘Y’ if the EAD was computed using IMM approach.Y

See also