EBA · 2014_1542 Final Q&A

Number of counterparties in template CVA

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
99
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2014-10-13
Answered
2016-06-10
Answer provided by
ESAs (EBA, ESMA, EIOPA)
Browse ECB SSM Register → More Q&As on this regulation →

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

Clarification required for disclosure of number of counterparties for CVA

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.

Original source: European Banking Authority, Q&A ID 2014_1542

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

Similar Q&As

Column 100 of the C 25.00 - CVA RISK template

Answered 2018-07-27

Principles for completing template C 67.00 and C 71.00

Answered 2016-02-05

Counterparty details for central bank eligible assets in Concentration of Counterbalancing Capacity template C 71.00

Answered 2018-01-12

Concentration risk - type of counterparty

Answered 2015-10-30

C 34.06 - Counterparty with dual Counterparty Type

Answered 2022-10-28

More Q&As on this topic

Validation rules taxonomy V4.0 C_47.00, C_43.00.a, C_43.00.b, C_43.00.c - v4456_m

Answered 2026-07-03

Threshold exemptions from deduction from Common Equity Tier 1 items – Reporting within CoRep C 07.00

Answered 2026-01-09

Calculation of Ideosyncratic and Systematic Risk

Answered 2026-01-09

Appropriate reporting of unconditionally cancellable commitments (UCCs) subject to transitional arrangements of Article 495d in CR SA (COREP C_07.00)

Answered 2025-12-05

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) – Col 0090 - Instruction Clarification

Answered 2025-12-05

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.