EBA · 2025_7456 Final Q&A

C 25.01 - CREDIT VALUATION ADJUSTMENT RISK (CVA) - Template Dimensions - Row 0130 / Column 0050

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430, para. 1a
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2025-05-15
Answered
2025-06-27
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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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

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.

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.

Original source: European Banking Authority, Q&A ID 2025_7456

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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