Counterparty Credit Risk
CVA/DVA/FVA, potential future exposure, and counterparty limit monitoring
Total CVA Reserve
$6.74M
Limit Breaches
1
Warnings
1
Counterparties Monitored
5
About This Agent
Data on this page
Counterparty exposure table with credit rating, CVA, potential future exposure (PFE) at 95%, limit utilization and breach/warning/OK status for five counterparties, plus stat cards for total CVA reserve, limit breaches, warnings and counterparties monitored.
What this agent does
Computes CVA/DVA/FVA reserves and potential future exposure per counterparty from simulated exposure profiles across the netting set, monitors utilization against approved credit limits, and flags breaches and near-limit warnings for the credit risk desk to act on — including restricting further trading with counterparties in breach.
Worked examples
- Deutsche Bank (BBB+): PFE of $22,400,000 against a $20,000,000 limit — 112% utilization — agent flags a Breach requiring immediate limit review.
- Barclays (A-): 94% utilization ($16.9M PFE of an $18M limit) — agent flags a Warning as it approaches the limit.
- Goldman Sachs (A+): CVA reserve of $1,240,000 against PFE of $18,900,000 within its $25,000,000 limit (76%) — agent confirms OK, no action needed.
Counterparty Exposure
| Counterparty | Rating | CVA | PFE (95%) | Limit Utilization | Status |
|---|---|---|---|---|---|
| Goldman Sachs | A+ | $1,240,000 | $18,900,000 | 76% | OK |
| Deutsche Bank | BBB+ | $2,110,000 | $22,400,000 | 112% | Breach |
| BNP Paribas | A | $860,000 | $11,200,000 | 62% | OK |
| HSBC | A | $1,050,000 | $14,800,000 | 74% | OK |
| Barclays | A- | $1,480,000 | $16,900,000 | 94% | Warning |