Article 445a Disclosure of CVA risk

Institutions subject to the own funds requirements for CVA risk shall disclose the following information:

an overview of their processes to identify, measure, hedge and monitor their CVA risk;

whether institutions meet all of the conditions set out in Article 273a(2); where those conditions are met, whether institutions have chosen to calculate the own funds requirements for CVA risk using the simplified approach set out in Article 385; where institutions have chosen to calculate the own funds requirements for CVA risk using the simplified approach, the own funds requirements for CVA risk in accordance with that approach;

the total number of counterparties for which the standardised approach is used, with a breakdown by counterparty types.

Institutions using the standardised approach set out in Article 383 for calculating the own funds requirements for CVA risk shall disclose, in addition to the information referred to in paragraph 1 of this Article, the following information:

the structure and the organisation of their internal CVA risk management function and governance;

their total own funds requirements for CVA risk under the standardised approach with a breakdown by risk class;

an overview of the eligible hedges used in that calculation, with a breakdown by type of instruments set out in Article 386(2).

Institutions using the basic approach set out in Article 384 for calculating the own funds requirements for CVA risk shall disclose, in addition to the information referred to in paragraph 1 of this Article, the following information:

their total own funds requirements for CVA risk under the basic approach, and the components BACVAtotal and BACVAcsr-hedged ;

an overview of the eligible hedges used in that calculation, with a breakdown by type of instruments set out in Article 386(3).