SA-CVA uses sensitivities to the counterparty's credit spread and to the interest rate, foreign exchange, reference-name credit spread, equity, and commodity factors that move exposure. The sensitivities are delta and vega, and vega is calculated for five risk classes, excluding the counterparty credit spread1. It uses the same sensitivity-based framework as the FRTB standardized approach2.

A bank using SA-CVA calculates the CVA risk equivalent amount every month and reports it to the Commissioner of the Financial Services Agency. As a condition of approval, it must meet requirements such as setting up a CVA desk3. For netting sets where SA-CVA is not appropriate, it uses BA-CVA4.

SA-CVA capital is obtained by adding up the capital of each risk class with no correlation between classes2. The formulas are laid out in the article "The CVA Risk Capital Charge".

Notes

  1. Financial Services Agency, "銀行法第十四条の二の規定に基づき、銀行がその保有する資産等に照らし自己資本の充実の状況が適当であるかどうかを判断するための基準" (Standards for determining whether a bank's capital adequacy is appropriate in light of the assets it holds, under Article 14-2 of the Banking Act, our translation; FSA Notice No. 19 of 2006, full text updated on August 24, 2026; below, "the Notice"), Article 270-4-7 (pages 401–402) (in Japanese). ↩

  2. Financial Services Agency and Bank of Japan, "「信用評価調整（CVA）リスクの最低所要自己資本」の概要" (Overview of "Minimum capital requirements for credit valuation adjustment (CVA) risk", our translation) (February 2018), section 5, "標準的方式(SA-CVA) ～計算の概要～" (Standardized approach (SA-CVA), outline of the calculation) (page 6) (in Japanese). ↩ ↩2

  3. The Notice, Article 270-4-6 (page 401) and Article 270-4-38, paragraph 2, item 3 (page 426) (in Japanese). ↩

  4. The Notice, Article 270-4-14, paragraph 1 (page 406) (in Japanese). ↩