30Dashboard - XVA

The following table displays the page level filters which are applicable to all the reports in this dashboard.

Table 106: Parameters in the Dashboard - XVA

Dashboard Name

XVA

Subject Area

MR Monte Carlo

Page-Level Filters

·        Portfolio

·        MIS Date

·        Definition

·        EOD Execution

·        Execution ID

·        Amount In

·        Entity Name

·        Parent Counterparty ID

·        Counterparty

·        XVA Result Type

Page-Level Display Parameters

Not applicable

The following reports are displayed as part of the Component VaR dashboard:

·        XVA Details

·        Trade Level XVA 

XVA Details

This section describes the parameters of the XVA Details report.

Table 107: XVA Details Report Parameters

Report Name

XVA Details

Report Level Filters

Not applicable

Report Description

This report provides the XVA measure such as CVA, BVA, DVA, XVA and so on at the Counterparty level.

Report Type

Tabular Report:

It has the following columns:

·        Portfolio

·        Entity Name

·        Parent counterparty ID

·        Counterparty ID

·        Netting

·        Sub-netting

·        XVA Result Type

·        BCVA Unilateral

·        BCVA Bilateral

·        Collateral VA

·        CVA Unilateral

·        CVA Bilateral

·        DVA Unilateral

·        DVA Bilateral

·        Funding Cost Adjustment

·        Funding Value Adjustment

·        Capital Valuation Adjustment

It has the following row:

·        Portfolios are listed

Dimensions

·        Portfolio

·        Entity Name

·        Parent counterparty ID

·        Counterparty ID

·        Netting

·        Sub-netting

·        XVA Result Type

Base Measures

·        BCVA Unilateral

·        BCVA Bilateral

·        Collateral VA

·        CVA Unilateral

·        CVA Bilateral

·        DVA Unilateral

·        DVA Bilateral

·        Funding Cost Adjustment

·        Funding Value Adjustment

·        Capital Valuation Adjustment

Computed Measures

NA

Trade Level XVA

This section describes the parameters of the Trade Level XVA report.

Table 108: Trade Level XVA Report Parameters

Report Name

Trade Level XVA

Report Level Filters

Not applicable

Report Description

This report provides the XVA measures such as CVA, BVA, DVA, XVA and so on at the trade level for a Counterparty.

Report Type

Tabular Report:

It has the following columns:

·        Portfolio

·        Entity Name

·        Parent counterparty ID

·        Counterparty ID

·        Netting

·        Sub-netting

·        XVA Result Type

·        Account Number

·        BCVA Unilateral

·        BCVA Bilateral

·        Collateral VA

·        CVA Unilateral

·        CVA Bilateral

·        DVA Unilateral

·        DVA Bilateral

·        Funding Cost Adjustment

·        Funding Value Adjustment

·        Capital Valuation Adjustment

It has the following row:

·        Portfolios are listed

Dimensions

·        Portfolio

·        Entity Name

·        Parent counterparty ID

·        Counterparty ID

·        Netting

·        Sub-netting

·        XVA Result Type

·        Account Number

Base Measures

·        BCVA Unilateral

·        BCVA Bilateral

·        Collateral VA

·        CVA Unilateral

·        CVA Bilateral

·        DVA Unilateral

·        DVA Bilateral

·        Funding Cost Adjustment

·        Funding Value Adjustment

·        Capital Valuation Adjustment

Computed Measures

NA