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 on the question
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.