1. Power BI Desktop
EAD by Counterparty Code
0M
5M
10M
15M
20M
NORTMF
PREURSE
NOMPLC
PRC
2070119506
9941CAN
POWCORP
AAMINC
1011BC
NORDSEE
PROMAN
PPST
145RICHM
910GOV
Product Report
BASA Indicator
0
500
1,000
1,500
2,000
2,500
3,000
BACVA
Count by Product
0
100
200
300
400
500
IR
Swap
FX
Forward
Fixed
Income
…
European
FX
…
European
Sing…
Bond
Forward
…
Commodity
O…
Commodity
S…
IR
European
S…
Cross
Currenc…
Bond
Forward
…
Equity
Total
Re…
IR
Vanilla
Floor
IR
Vanilla
Cap
DATE
SRC_SYS_CD BACVA_IND IMM_IND SWWR_IND REGIME_LEGAL_EN
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
31/10/2021 12:00:00 AM CALYPSO Y N N BFG
Product Filter
All
2. Power BI Desktop
Bucket Level Capital Charge by RISK Type
0bn
5bn
10bn
15bn
20bn
25bn
30bn
CCS FX IR CO EQ
Risk Report
Capital Charge by Risk Type
55.2bn (76.23%)
(11.48%)
7.29bn (10.07%) (1.92%)
8.31bn
1.39bn
RISK_TYPE
CCS
FX
IR
CO
EQ
Weighted Sensitivity by Risk Type
-100%
-50%
0%
50%
100%
CO EQ IR FX CCS
Adjusted Capital charge by Risk type
CCS 99.13%
CO 0.05%
RISK_TYPE
CCS
CO
EQ
FX
IR
Risk Type Filter
All
3. Power BI Desktop
Trade Report
Discount Scalar BACVA
REGL_RULE PARAMETER_NAME VALUE CALC_TYPE LEGL_ENTITY RPT_CCY CARVED BWAR ACT_IND
OSFIOLD DS_BACVA 1.00 CBIRC-BMCN-CVAC BMCN CNY N N Y
OSFIOLD DS_BACVA 1.00 OSFI-BFG-CVAC BFG CAD N Y Y
BACVA Reduced
BUS_DT
CALC_ITEM CALC_RUN_ID VALU
2021-10-31 12:00:00 AM BA_RDU 10001 2,866
2021-10-31 12:00:00 AM BA_RDU 10002 3
2021-10-31 12:00:00 AM BA_RDU 10003 98
2021-10-31 12:00:00 AM BA_RDU 10028 2,866
2021-10-31 12:00:00 AM BA_RDU 10029 3
2021-10-31 12:00:00 AM BA_RDU 10030 94
BACVA Hedged
BUS_DT CALC_ITEM VALUE
2021-10-31 12:00:00 AM BA_RDU 31,222,719.87
2021-10-31 12:00:00 AM BA_RDU 94,740,966.95
2021-10-31 12:00:00 AM BA_RDU 98,647,827.15
2021-10-31 12:00:00 AM BA_RDU 2,866,520,203.00
BACVA Hedged Capital
BUS_DT CALC_RUN_ID VALUE
2022-07-29 12:00:00 AM 84004 17,249.31
2022-07-29 12:00:00 AM 108004 17,249.31
2022-07-29 12:00:00 AM 103003 203,522.19
2022-07-29 12:00:00 AM 103006 266,614.07
2022-07-29 12:00:00 AM 103002 325,439.38
2022-07-29 12:00:00 AM 83004 439,652.30
2022-07-29 12:00:00 AM 85004 439,652.30