The Bilateral Credit Value Adjustment (BCVA) accounts for both the counterparty's credit risk (CVA) and the firm's own credit risk (DVA). It is typically expressed as an adjustment to the risk-free value of the derivative: $BCVA = DVA - CVA$

Where:

• $CVA \approx \text{Spread}_{Counterparty} \times EPE$
• $DVA \approx \text{Spread}_{Own} \times ENE$ (using the absolute value of the expected negative exposure)

Given:

• $\text{Spread}_{Counterparty} = 267 \text{ bps}$
• $EPE = 13.6\% = 0.136$
• $\text{Spread}_{Own} = 191 \text{ bps}$
• $ENE = |-0.09| = 0.09$

Calculations:

• $CVA = 267 \text{ bps} \times 0.136 = 36.312 \text{ bps}$
• $DVA = 191 \text{ bps} \times 0.09 = 17.19 \text{ bps}$
• $BCVA = 17.19 - 36.312 = -19.122 \text{ bps}$

The BCVA adjustment to the swap's value is -19.122 bps.