- Question ID
-
2021_6308
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Transparency and Pillar 3
- Article
-
438
- Subparagraph
-
(d)
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
EU 2021/637 ANNEX II
- Type of submitter
-
Credit institution
- Subject matter
-
Definition of EU OV1, row 1 Credit risk (excluding CCR)
- Question
-
Shall the CVA from reporting template CA2, row 0640, respectively from disclosure template EU OV1, row EU 8b, be deducted from EU OV1, row 1 (Credit risk (excluding CCR))?
- Background on the question
-
According to Regulation (EU) 2021/637, Annex II, row 1 of template EU OV1 - Credit risk (excluding CCR) - is defined as "RWEAs and own funds requirements calculated in accordance with Chapters 1 to 4 of Title II of Part Three CRR, and with Article 379 CRR. RWEAs for securitisation exposures in the non-trading book and for CCR are excluded and disclosed in rows 6 and 16 of this template. Institutions shall include, in the amount disclosed in this row, RWEAs and own funds requirements for free deliveries risk calculated in accordance with Article 379 CRR."
From our point of view this definition clearly says that the credit valuation adjustment - CVA - which is shown in EU OV1, row EU 8b, shall not be included in EU OV1, row 1, as the CVA is part of the counterparty credit risk.
In contrast to that, the EBA's mapping between the ITS on Pillar 3 disclosures and the ITS on supervisory reporting (v3.0) - see Mapping tool review of updates v3.0 - contains the following formula for EU OV1, row 1:
{C 02.00, r0040, c0010} -
[
{C 07.00, r0090, c0220, s0001} +
{C 07.00, r0110, c0220, s0001} +
{C 07.00, r0130, c0220, s0001} +
{C 08.01, r0040, c0260, s0001} +
{C 08.01, r0050, c0260, s0001} +
{C 08.01, r0060, c0260, s0001} +
{C 08.01, r0040, c0260, s0002} +
{C 08.01, r0050, c0260, s0002} +
{C 08.01 r0060, c0260, s0002}
]
- {C 02.00, r0460, c0010}
- {C 02.00, r0470, c0010}
+ {C 02.00, r0630, c0010}
+ {C 02.00, r0690, c0010}
Obviously, the credit valuation adjustment from reporting template CA2, row 0640 is not subtracted from CA2, row 0040 (RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES) in this formula.
To our understanding, there is a discrepancy between the definition of EU OV1, row 1 - Credit risk (excluding CCR) - as defined in Regulation (EU) 2021/637, Annex II, and the formula from the Mapping tool review of updates v3.0, as Regulation (EU) 2021/637, Annex II clearly says that credit counterparty risk shall be excluded from EU OV1, row 1.
Our basic assumption that the CVA is part of "credit counterparty risk (CCR)" is underpinned by the fact that "TITLE VI, Article 381 CRR" refers to "Chapter 6 of Title II CRR".
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the issue it deals with is already explained or addressed in the instructions on row 0040 of template C 02.00 of Annex I to Regulation (EU) 2021/451, as provided in Annex II thereof.
For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.
- Status
-
Rejected question