EBA · 2025_7295 Rejected question

Validation Rule for Marginal Impact of Reintegration of CVA Exemptions

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2025-01-08
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Question

The guidance for the population of rows 0040-0110 specifies that firms should populate the marginal impact of reintegration of CVA exemptions "separately for each exemption". However there is a warning validation rule v23083_m which specifies that the sum of the individual exemptions should be equal to the total "{r0040} = {r0050} + {r0060} + {r0090} + {r0100} + {r0110}". We would like to query whether the validation rule is valid and therefore whether we should be calculating a single CVA exemption reintegration impact of excluded transactions and then attributing by type of exemption or genuinely calculating the marginal impact separately by type of exemption.

Background

The marginal impact of including individual exemptions separately into the CVA calculations would not mathematically equal the sum of including all in total given the diversification built within the calculation formula and therefore either the validation rule or guidance is incorrect and should be amended accordingly.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2025_7295

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.

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