Question ID:
2013_171
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Supervisory reporting - COREP (incl. IP Losses)
Article:
99 (and 383)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
Article/Paragraph:
Annex I C25.00, r030, r040, c110
Disclose name of institution / entity:
No
Type of submitter:
Consultancy firm
Subject Matter:
COREP C25.00 (CVA): rows 030 and 040 for column 110 shouldn't be reported
Question:

in CVA report, the column 110 is requested for all methods but when we check the definition of this column "number of counterparties where the credit spread was determined using a proxy instead of directly observed market data". This definition suits more for CVA advanced method but no for standard method nor for based OEM, our question is the proxy used to determine credit spread is it really requested for standard method or OEM?

Background on the question:

The concept of proxy is used for advanced method regarding article 383 paragraph 1 through parameter si. This concept is not used for standard method (article 384) neither for Based on OEM (article 385)

Date of submission:
19/08/2013
Published as Final Q&A:
14/02/2014
EBA Answer:

In C 25.00, row 030 "CVA risk according to the standardised method" and row 040 "CVA risk based on OEM" should be grey shaded for column 110 "Number of counterparties of which proxy spread was used to determine credit spread". Indeed, proxy spreads can be used for calculating the CVA charge according to the advanced approach only (set out in article 383 of Regulation (EU) No 575/2013 (CRR)).

Rows 030 and 040 will be grey shaded for column 110 in C 25.00 in the next version of the ITS. In the meantime, rows 030 and 040 shall not be filled for column 110.

 

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Image CAPTCHA