What does our solution offer?

Possibility of generating daily calculations in stress scenarios based on CVA sensitivity.

Automatic processing of regular reports to be sent to supervisor within solvency framework.

Option to include a bilateral CVA; i.e. taking into account the adjustment for credit risk of entity ("DVA").

Possibility of calculating from the Front-Office a more suitable pricing adjusted to the solvency of the counterparty in an OTC operation.

Considering the adverse correlation risk from both a general and a specific point of view, between the level of exposure and the chances of default by the counterparty.

Capacity to comply with the new capital requirement laid down in the new solvency framework with the coming into force of Basle III, at both standard and advanced level.

Supplementary implementation of any CVA, DVA and FVA calculations which may be required for the completion of other reports relating to prudence and solvency requirements.

Possibility of obtaining the calculation of the probability of default by the counterparty ("CVA") and / or the entity ("DVA") either on the basis of historical records or market variables.

Allows daily calculation and active management, showing impact on the institution's income statement, and the corresponding automatic entry in the accounts, at the level of portfolios, counterparty, etc.

Reports such as "Annual Self-Valuation of Capital Report " and "Annual Prudential Relevance Report" or "Solvency", in the case of credit institutions under the supervision of the Bank of Spain, or investment services undertakings ("ESI") under the supervision of the National Securities Market Commission (CNMV), respectively.

Allows calculation of the FVA to show the financial cost of the CVA, and creates the choice of including it in the cost of the operation in those in which there is no signed CSA ("Credit Support Annex") in ISDA contracts or equivalent annex in other models of signed contract ("CMOF", "EMA", etc.).

Automatic recording of gross and mitigated exposure (net of collateral) caused by current operations with counterparties for the calculation of the CVA.