Subject: RE: AG – Inflation swaps – CVA Request
Ovi,
Hope you are well.
Could you kindly share indicative CVA for the below two inflation swaps, assuming the counterparty is Assured Guaranty UK Limited (formerly Assured Guaranty (Europe) Ltd), which is rated AA- by S&P and A1 by Moody's please?
OB 27/11/2025
Swap 1 – please price standalone
| CSA | Murex | PV (£) | |
|---|---|---|---|
| Coupon Leg | BTMU_JPY | 79353083 | 4,562,456 |
| APD leg | BTMU_JPY | 79353084 | 76,985,170 |
Total PV: 81,547,626
Swap 2 – please price standalone
| CSA | Murex | PV (£) | |
|---|---|---|---|
| Coupon Leg | BTMU_JPY | 79353093 | 1,663,261 |
| APD leg | BTMU_JPY | 79353094 | 41,333,773 |
Total PV: 42,997,034
Many thanks.
Kind regards,