Question
The guidance for template C25.00 (CVA) states that "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." This requirement could be interpreted in a number of ways e.g. Option A: using the ultimate parent undertaking Option B: at subsidiary level Option B would report more counterparties than Option A i.e. where there are CVA exposures to two subsidiaries with the same ultimate parent, option A would disclose 1 counterparty; option B would disclose 2 counterparties
Background on the question
Clarification required for disclosure of number of counterparties for CVA
Answer
Each legal entity of a group should be counted separately even if the group is rated collectively. As c100 of C 25.00 of Annex I of Regulation (EU) No 680/2014 - ITS on Reporting deals with the structure of the institution´s derivatives portfolio it is required to collect the number of legal entities that can default individually.