The bank must calculate CVA risk capital for all covered transactions in banking and trading books: derivatives other than those with a qualified central counterparty or meeting CRE54.14 to CRE54.16, and fair-valued SFTs where the supervisor deems CVA exposure material (MAR50.5), on a standalone CVA portfolio including eligible hedges (MAR50.6); RWA equal capital times 12.5 (MAR50.1). BA-CVA is the default and SA-CVA requires supervisory approval (MAR50.7). A bank with aggregate non-centrally cleared derivative notional of 100 billion euro or less may instead set CVA capital at 100% of its CCR capital for its whole portfolio, without hedge recognition, unless the supervisor removes the option (MAR50.9). Every BA-CVA bank must calculate the reduced version (discount scalar 0.65, correlation 50%, supervisory risk weights); the full version recognises single-name and index CDS hedges with a floor parameter of 0.25 (MAR50.13-50.26). SA-CVA eligibility requires at least monthly modelling of CVA and its sensitivities and a CVA desk or equivalent function (MAR50.30). Regulatory CVA must exclude own default and use market-implied PDs, consensus ELGD and simulated discounted exposure paths (MAR50.3, MAR50.32). SA-CVA is reported monthly and on request (MAR50.28), sums delta and vega capital with vega always calculated (MAR50.42-50.48), and uses a multiplier of 1 unless raised (MAR50.41).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.