EBA · 2025_7489 Final Q&A

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

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430, para. 1
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2025-06-16
Answered
2025-12-05
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

The CoRep instructions for the BA-CVA unhedged value point to CRR Article 384(3). The formula in this article contains the 0.65 discount factor.  However, as per the EBA’s Final Report on Amendments to the ITS on Supervisory Reporting - CRR3/CRD6, the EBA analysis column on question 18 (‘Q18’) mentions that the instructions for this column are clear that the discount factor of 0.65 shall not be applied.

Background

Reporting instructions are not clear in relation to the discount factor of 0.65

Answer

The column 0090 “BACVAcsr-unhedged” of template C25 does not contain the 0.65 discount factor (DS_CVA). The instructions will be clarified on this aspect.

Original source: European Banking Authority, Q&A ID 2025_7489

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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