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BA CVA Introduction
The landscape of UK financial regulation is approaching a significant turning point. Starting in January 2026, the PRA is fundamentally resetting how institutions calculate the risk of counterparty credit spread volatility. This shift marks the transition from internal modeling flexibility to a prescriptive, formulaic regime—the Basic Approach for CVA. This article maps out that transition, guiding firms through the new "Credit Valuation Adjustment Risk Part" of the Rulebook
SFT EAD
Final step is to aggregate Net Exposure, Security Addon and FX Addon to arrive at EAD.
SFT FX Addon
When security or cash currency is different from the agreement settlement currency, FX addon is required. This chapter shows step by step calculation for FX addon.
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