CVA exemptions: marginal impact of reintegration

Annex II of the ITS requires to show the marginal impact of reintegration of CVA exemptions, separately for each exemption. it defines the marginal impact as "the difference, expressed in absolute amount, between the relevant metric for the scope of transactions referred to in row 0010 after reintegrating the exemption, and the relevant metric for the scope of transactions referred to in row 0010".  This statement may in our opinion be interpreted in two different ways: For each of the 7 exemptions and for the whole portfolio including the exemptions, institutions are required to calculate the cva risk charge for the non-exempted portfolio + the relevant exemption separately and report the difference to the cva risk charge calculated for the non-exempted portfolio. This requires 8 separate calculations and the marginal impact of individual exemptions will be accurate. However, the marginal impact for the individual exemptions will not add up to the marginal impact for the whole portfolio. Institutions are required to calculate the difference of the cva risk charge calculated for the whole portfolio to the cva risk charge calculated for the non-exempted portfolio. This difference will be split up for the 7 exemptions using the contributions on counterparty level already calculated for the whole portfolio. This requires 1 separate calculation and the marginal impact for individual exemptions will add up to the marginal impact for the whole portfolio. However, the marginal impact of each individual exemption will be only approximate (i.e. scaled by counterparty contributions). Question: are institution allowed to use method (2)?

The following table gives a very stripped-down example for method (2): calculate cva risk charge for the portfolio (regulatory scope): 100 calculate cva risk charge for the whole portfolio (including exemptions): 140 sum up the contributions to cva risk charge for each exempted counterparty for its category: sum for exemption 1 is 30, sum for exemptions 2 is 50 scale the summed contributions for each category so that the sum of marginal impacts is equal the total marginal impact (whole portfolio).     CVA Risk Charge Marginal impact CVA risk (regulatory scope)   100   CVA Risk (incl. all exemptions)   140     Marginal Impact of all exemptions   40   Sum of all exemptions (sum on Cpty level) 80     Exemption 1 (sum of relevant Cpties) 30 30 * (40/80) = 15   Cpty 1 10     Cpty 2 20     Exemption 2 (sum of relevant Cpties) 50 50 * (40/80) = 25   Cpty 1 20     Cpty 2 30