CVA Blockchain

CVA Blockchain
by Peter Nocken

XVA Blockchain
XVA Blockchain is based on ISO 20022 data definition

For further information and basics read the following whitepapers:

https://bitcoin.org/bitcoin.pdf

lightning-network-paper

What is the LEI?

CVA-Blockchain_LEI

What is the UTI?

CVA-Blockchain_UTI

What is the SA-CCR?

http://www.bis.org/publ/bcbs279.pdf

There are two ways for your data deliveries:

#1st “Trade level information”: Status of LEI is legally binding

L

Each UTI, USI, or internal trade ID identifies one counterparty.

The following trade details are mandatory: UTI, asset class, market value, and all static SA-CCR data.

or

#2nd “Portfolio level information”: Status of LEI is legally binding

C

Each submission is for a sub-portfolio (clustered by counterparty): The portfolio value, number of trades of at least one counterparty, and CVA, DVA, FVA is sufficient.

In addition status C serves for corporate actions of an LEI.

Any LEI not registered by Advanced Blockchain Solutions GmbH is not legally binding

N

MASTER DATA DEFINITION OF COLLATERAL:

Eligible assets abbreviations:

Abbreviations used in the list of eligible assets.

ASSET TYPE

AT01 Bond

AT02 Medium-term note

AT03 (Treasury) bill / commercial paper / certificate of deposit

AT09 Jumbo covered bonds

AT10 Traditional covered bonds

AT11 Asset-backed securities (ABS)

AT12 Multi-cédulas

AT13 Structured covered bonds

COUPON DEFINITION

CD1 Zero

CD2 Variable

CD4 Fixed

GUARANTOR GROUP

GG1 Central Bank

GG11 Public corporation

GG2 Central Government

GG3 Corporate and other issuers

GG4 Credit Institution (excluding agencies)

GG5 Regional/Local government

GG6 Supranational Issuer

GG7 Agency – non credit institution

GG8 Agency – credit institution

GG9 Financial corporations other than credit institutions

GUARANTOR RESIDENCE

GRAT Austria

GRBE Belgium

GRBG Bulgaria

GRCY Cyprus

GRCZ Czech Republic

GRDE Germany

GRDK Denmark

GREE Estonia

GRES Spain

GRFI Finland

GRFR France

GRGB United Kingdom

GRGR Greece

GRHR Croatia

GRHU Hungary

GRIE Ireland

GRIS Iceland

GRIT Italy

GRLI Liechtenstein

GRLT Lithuania

GRLU Luxembourg

GRLV Latvia

GRMT Malta

GRNL Netherlands

GRNO Norway

GRPL Poland

GRPT Portugal

GRRO Romania

GRSE Sweden

GRSI Slovenia

GRSK Slovakia

GRXX Non-eea

HAIRCUT CATEGORY

L1A Central government and Debt securities issued by central banks

L1B Local/Regional Government+Agency+ Supranational + Jumbo covered bonds

L1C Non-Jumbo, Credit institution, Corporate/other issuer securities

L1D Credit institution securities (unsecured) L1E Asset-backed securities

FX MASTER DATA

Base Currencies:

EUR

Currencies available for XVA Blockchain repository reporting:

USD US dollar

JPY Japanese yen

BGN Bulgarian lev

CZK Czech koruna

DKK Danish krone

GBP Pound sterling

HUF Hungarian forint

PLN Polish zloty

RON Romanian leu

SEK Swedish krona

CHF Swiss franc

ISK Icelandic krona

NOK Norwegian krone

HRK Croatian kuna

RUB Russian rouble

TRY Turkish lira

AUD Australian dollar

BRL Brazilian real

CAD Canadian dollar

CNY Chinese yuan renminbi

HKD Hong Kong dollar

IDR Indonesian rupiah

ILS Israeli shekel

INR Indian rupee

KRW South Korean won

MXN Mexican peso

MYR Malaysian ringgit

NZD New Zealand dollar

PHP Philippine piso

SGD Singapore dollar

THB Thai baht

ZAR South African rand