ISDA BA-CVA CRIF File Specifications
R2026bThe ISDA® (International Swaps and Derivatives Association) BA-CVA (Basic Approach for Credit Valuation Adjustment) CRIF (Common Risk Interchange Format) file format is a proprietary model developed by the ISDA that facilitates the exchange of counterparty CVA risk information between market participants and regulatory authorities. The format is a structured and consistent format for reporting key data elements related to BA-CVA capital calculations under the Basel MAR50 framework.
When you create a bacva
The ISDA BA-CVA CRIF file typically includes information such as:
Counterparty exposure data — This data includes the exposure at default (EAD) normalized for alpha for each counterparty, along with counterparty identifiers, sector buckets, and regional classifications.
Hedge data — This data includes information about CVA hedges such as single-name CDS (credit default swap), contingent CDS, or index CDS positions used to mitigate counterparty credit risk under the BA-CVA full approach.
Risk classification data — This data includes information about credit quality, counterparty groupings, and sector bucket assignments used in the capital calculation.
The ISDA BA-CVA CRIF file format is based on industry-standard data formats, such as XML (extensible markup language) or CSV (comma-separated values). The file follows a predefined schema that specifies the structure and data elements required for reporting counterparty credit valuation adjustment risk under the BA-CVA framework.
The ISDA BA-CVA CRIF file contains 12 columns, with the top row specifying the
column names. You can distinguish a BA-CVA CRIF file from an SA-CVA CRIF file by
examining the RiskType column. In a BA-CVA CRIF file, this column
contains the values "BA_Exposure" and "BA_Hedge".
For information on the SA-CVA CRIF file, see ISDA SA-CVA CRIF File Specifications.
Columns for ISDA BA-CVA CRIF File
The column for an ISDA BA-CVA CRIF file are as follows:
PortfolioID— The portfolio ID string (for example,"Port_001"). If this column is missing, then all sensitivities belong to the same portfolio.Variant— Not required for CVA. Leave this column blank.SensitivityID— The sensitivity ID string. For BA-CVA, specify the value to begin with"B_CVA_"followed by a specific identifier (for example,"B_CVA_a1").RiskType— The risk type string indicating whether the row represents a counterparty exposure or a CVA hedge. Specify the value as one of the following:"BA_Exposure"— Counterparty exposure (valid in both the BA-CVA full and BA-CVA reduced versions; see BA-CVA Full vs. BA-CVA Reduced)"BA_Hedge"— CVA hedge using single-name CDS, contingent CDS, or index CDS (valid only in the BA-CVA full version if present and ignored in theBA-CVA reduced version)
Qualifier— The qualifier string describing the risk factor, typically the counterparty ID (for example,"CPARTY_B").Bucket— The bucket number indicating the sector of the counterparty (for example,"2"). The bucket assignments are:"1a"— Sovereigns, including central banks and multilateral development banks"1b"— Local government, government-backed nonfinancials, education, and public administration"2"— Financials, including government-backed financials"3"— Basic materials, energy, industrials, agriculture, manufacturing, mining, and quarrying"4"— Consumer goods and services, transportation and storage, and administrative and support service activities"5"— Technology and telecommunications"6"— Health care, utilities, and professional and technical activities"7"— Other sectors
Label1— Additional qualifier describing the risk factor. This label typically specifies the effective maturity"M"in years (for example,"5").Label2— Additional qualifier describing the region of the counterparty. Specify the value as one of the following:"NA"— North American region"EU"— European region"SA"— South American region"Advanced"— Advanced economies"Emerging"— Emerging market economies
Amount— The EAD normalized for alpha (the quotient of EAD and alpha) used in the capital computation, expressed in the currency described in theAmountCurrencycolumn.AmountCurrency— The currency for the value in theAmountcolumn, expressed using a standard three-letter ISO currency code (for example,"USD").AmountUSD— The EAD normalized for alpha (EAD/alpha) used in the capital computation, expressed in USD.Label3— Counterparty group identifier, if applicable (for example,"CPARTY_GROUP_1"). Leave this column blank if the counterparty does not belong to a group.EndDate— Not required for CVA. Leave this column blank.CreditQuality— The credit quality of the counterparty, if applicable (for example,"IG"for investment grade or"HY_NR"for high yield or not rated). Leave this column blank if not applicable.
Rules for ISDA BA-CVA CRIF File Specification
The specification for the ISDA BA-CVA CRIF file format is defined by the rules given below:
Portfolios
Each BA-CVA CRIF file must contain at least one portfolio with at least one sensitivity.
The
PortfolioIDcolumn specifies portfolios using portfolio IDs (for example,"Port_001"). If this column is missing, then all sensitivities belong to a single portfolio.Each row belonging to the same portfolio must have the same portfolio ID.
Sensitivities
Each row in the BA-CVA CRIF file represents a single sensitivity (either a counterparty exposure or a CVA hedge).
Each sensitivity has a unique ID in the
SensitivityIDcolumn, beginning with"B_CVA_"(for example,"B_CVA_a1","B_CVA_b2").Each sensitivity must specify a
RiskTypeof either"BA_Exposure"or"BA_Hedge".
BA-CVA Full vs. BA-CVA Reduced
The BA-CVA full approach uses both
"BA_Exposure"and"BA_Hedge"sensitivities.The BA-CVA reduced approach uses only
"BA_Exposure"sensitivities (no hedges).
Counterparty Groups
Counterparties can optionally be assigned to groups using the
Label3column (for example,"CPARTY_GROUP_1").Counterparty groups affect the aggregation of exposures in the capital calculation.
