Question ID
2025_7456
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
Paragraph
1a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
430/1a
Type of submitter
Credit institution
Subject matter
C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) - Template Dimensions - Row 0130 / Column 0050
Question

C 25.01 Data point intersecting Row 0130 (“Total non-centrally cleared SFTs that are fair-valued for accounting purposes, excluding exempted transactions” and Column 0050 (“Simplified treatment for derivative positions of CIU”) – we do not believe that the template dimensions are correct whereby SFTs are subset of derivatives.

Background on the question

The cells referenced in this regard do not make sense. From the firm's perspective, we do not follow an approach where SFTs are a subset of derivatives.

Submission date
Final publishing date
Final answer

In template C 25.01 of Implementing Regulation (EU) 2024/3117, the cell (r0130, c0050) is not greyed out. However, the simplified treatment mentioned in column 0050 is applicable to derivatives rather than SFTs.

Cell (r0130, c0050) will be greyed out in a future release of the ITS. In the meantime, the cell can be left blank.

Status
Final Q&A
Answer prepared by
Answer prepared by the EBA.

Disclaimer

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