CVA Capital Framework Selector

Routes banks to the appropriate CVA capital approach — BA-CVA, SA-CVA, or Simplified SA-CVA — based on portfolio size, waiver eligibility, CVA VaR model approval, and desk capacity. Outputs recommended approach, waiver eligibility assessment, indicative capital multiplier, key obligations per approach, and implementation timeline. Policy Mandate export included.

🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.

Regulatory basis — BCBS CVA framework (July 2017), CRR2 Art. 381–386, CRR3 CVA amendments (Regulation 2024/1623, effective Jan 2025 / Jan 2026 phased), EBA RTS on CVA hedging. Waiver threshold: derivative notional below €100bn and not G-SIB/O-SII. Capital multipliers are indicative relative estimates. Deterministic rule-based logic · zero PII · CC BY 4.0.

Institution & Portfolio Inputs

Bank Classification

CVA VaR / IHC Model Approval

Yes — approved No

Derivative Notional Below €100bn Threshold (CRR2 Art. 273a waiver)

Yes No

CVA Desk / Dedicated Risk Infrastructure

Yes — operational No

Covered Transactions Hedge Ratio (% hedged with eligible CVA hedges)

Covered Transactions Notional (€bn approximate)

Recommended CVA Approach

Waiver & Eligibility Assessment

Key Obligations & Implementation Timeline

CVA Framework Selection Memo