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Configuration
Netting Set — Trades — up to 5 trades
Asset Class
Sub-type
Direction
Notional ($)
Maturity (yr)
MTM ($)
Netting Set — Global Inputs
Net collateral posted by counterparty against this netting set.
ISDA netting allows offsetting positive and negative MTM across trades.
Supervisory CVA risk weight per BCBS 325 BA-CVA.
About This Tool
SA-CCR Formula Chain
RC = max(ΣV - C, 0)
MF = √min(M, 1yr)
SD = N × MF × SF × δ
PFE = mult × ΣAddOn
EAD = α × (RC + PFE)
CVA = ½ × h × RW × EAD × M
MF = √min(M, 1yr)
SD = N × MF × SF × δ
PFE = mult × ΣAddOn
EAD = α × (RC + PFE)
CVA = ½ × h × RW × EAD × M
α = 1.4 (supervisory). h = 1yr. Multiplier floor = 5%.
Supervisory Factors (SF)
Interest Rate0.50%
FX4.00%
Credit — IG0.38%
Credit — Spec. Grade5.00%
Equity — Single Name32.0%
Equity — Index20.0%
Commodity — Energy40.0%
Commodity — Metals18.0%
Commodity — Agri/Other18.0%
Scope & Limitations
Non-margined netting sets only. IR adjusted notional uses duration approximation. Hedging set aggregation is simplified (no within-set netting offset for cross-currency IR). For full IMM calculations use your internal model.
Regulatory Reference
BIS BCBS 279 (March 2014) — SA-CCR. BIS BCBS 325 (July 2015) — CVA risk framework. CRR3: EU Regulation 2024/1623.
CVA Calculation Results
Per-Trade AddOn Decomposition
| # | Asset Class | Direction | Adjusted Notional | MF | SF | AddOn |
|---|---|---|---|---|---|---|
| Aggregate AddOn | ||||||
SA-CCR Step-by-Step Derivation
CVA Commentary