| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Risk value date | 2018-09-28 |
| TradeId | Y | N | String | Primary trade identifier. Must match Trade Attributes file. Note: If coming from multiple systems, Trade Ids may need to prepend source system to the id for uniqueness. | MX-283749 |
| Notional | N | N | Double | Notional value in accordance with [MAR50.23] and [MAR50.24] | 200000 |
| NotionalCcy | N | N | String | Currency of notional value | EUR |
| RemainingMaturity | N | N | Double | Remaining maturity of the hedge trade in years | 3 |
Hedges risk data
BA
Download sample file: ba-cva-hedges-risk-data.csv
The file provides eligible hedges risk data - reducing BA-CVA capital charge according to the Full BA-CVA Approach.
The File must contain only trades eligible for the BA. The Solution expects that eligibility according to [MAR50.10] is evaluated by the upstream data management/risk system.