Subject: RE: CVA – Cross-currency swap with break clause
Dear Ovi,
Could you provide indicative CVA for the below cross-currency swap with Barclays Bank PLC? Note: this trade has a break clause at the 5-year point.
OB 01/06/2025
| CSA | Murex | PV (€) | |
|---|---|---|---|
| EUR Leg | BARC_EUR | 77890112 | 8,421,300 |
| GBP Leg | BARC_EUR | 77890113 | 22,105,800 |
Thanks,
Mark