Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Supervisory reporting - COREP (incl. IP Losses)
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Annex I, C25.00, c100
Disclose name of institution / entity:
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

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

Date of submission:
Published as Final Q&A:
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.
Final Q&A
Answer prepared by:
Answer prepared by the EBA.