31   Dashboard - Incremental XVA

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

Table 109: Parameters in the Dashboard - Incremental XVA

Dashboard Name

Incremental 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 report is displayed as part of the Component VaR dashboard:

·        Incremental Trade Level XVA 

Incremental Trade Level XVA

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

Table 110: Incremental Trade Level XVA Report Parameters

Report Name

Incremental Trade Level XVA

Report Level Filters

Trade ID

Report Description

This report provides the incremental 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

·        Observation Date

·        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

·        Observation Date

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