Question ID
2014_1542
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
99
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
Annex I, C25.00, c100
Name of institution / submitter
Co-operative Bank
Country of incorporation / residence
United Kingdom
Type of submitter
Credit institution
Subject matter
Number of counterparties in template CVA
Question

The guidance for template C25.00 (CVA) states that "Number of counterparties included in calculation of own funds for CVA risk. Counterparties are a subset of obligors. They only exist in case of derivatives transactions or SFTs where they are simply the other contracting party." This requirement could be interpreted in a number of ways e.g. Option A: using the ultimate parent undertaking Option B: at subsidiary level Option B would report more counterparties than Option A i.e. where there are CVA exposures to two subsidiaries with the same ultimate parent, option A would disclose 1 counterparty; option B would disclose 2 counterparties

Background on the question

Clarification required for disclosure of number of counterparties for CVA

Submission date
Final publishing date
Final answer
Each legal entity of a group should be counted separately even if the group is rated collectively. As c100 of C 25.00 of Annex I of Regulation (EU) No 680/2014 - ITS on Reporting deals with the structure of the institution´s derivatives portfolio it is required to collect the number of legal entities that can default individually.
Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

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