Question
In the COREP C25 on CVA, rows 0230 and 0240 demand the ideosycratic and systemic CVA risk. The scope that should be used for this calculation is not clear for us. Should the scope include the 'Memorandum' counterparties (e.g. not financial counterparties) or is this limited towards the 'Transactions in scope of own funds requirements' (e.g. financial counterparties)?
Background on the question
According to related articles (382-384) and the annex of C25, we believe the scope consists of the financial counterparties. However, we have some doubts due to: for the calculation, the reference is made to an enumeration of several parameters/variables. Within these parameters, there is for example a table with weights for the memorandum counterparties. Another source of doubt is the placement in the COREP where there is a subdivision 'Memorandum items' under which these 2 rows (0230 and 0240) fall.
Answer
The transactions included for the purposes of rows 0230 and 0240 of template C25 on CVA should be the ones in scope of the own funds requirements for CVA risk. Accordingly, transactions exempted from the own funds requirements for CVA risk are not included for the purposes of the calculation of those rows.