| Columns |
|---|
| 010 | Exposure value Article 271 of CRR in accordance with article 382 of CRR
Total EAD from all transactions subject to CVA charge
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| 020 | Of which: OTC derivatives Article 271 of CRR in accordance with Article 382(1) of CRR
The part of the total counterparty credit risk exposure solely due to OTC derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
|
| 030 | Of which: SFT Article 271 of CRR in accordance with Article 382(2) of CRR
The part of the total counterparty credit risk exposure solely due to SFT derivatives. The information is not required from IMM institutions holding OTC derivatives and SFTs in the same netting set
|
| 040 | MULTIPLICATION FACTOR (mc) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaRavg) Article 383 of CRR in accordance with Article 363(1)(d) of CRR
VaR calculation based on internal models for market risk
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| 050 | PREVIOUS DAY (VaRt-1) See instructions referring to column 040
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| 060 | MULTIPLICATION FACTOR (ms) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaRavg) See instructions referring to column 040
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| 070 | LATEST AVAILABLE (SVaRt-1) See instructions referring to column 040
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| 080 | OWN FUNDS REQUIREMENTS Article 92(3) d) of CRR
Own funds requirements for CVA Risk calculated via the chosen method
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| 090 | TOTAL RISK EXPOSURE AMOUNT Article 92(4) b) of CRR
Own funds requirements multiplied by 12,5.
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| | Memorandum items |
| 100 | Number of counterparties Article 382 of CRR
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.
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| 110 | Of which: proxy was used to determine credit spread number of counterparties where the credit spread was determined using a proxy instead of directly observed market data
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| 120 | INCURRED CVA Accounting provisions due to decreased credit worthiness of derivatives counterparties
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| 130 | SINGLE NAME CDS Article 386(1) lit. a of CRR
Total notional amounts of single name CDS used as hedge for CVA risk
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| 140 | INDEX CDS Article 386(1) lit. b) of CRR
Total notional amounts of index CDS used as hedge for CVA risk]
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