AI Summary of Article 445a Disclosure of CVA risk
Institutions required to comply with capital requirements for counterparty credit valuation adjustment (CVA) risk must disclose vital information regarding their processes, governance structures, and risk management. This includes details on how they identify, measure, hedge, and monitor CVA risk, as well as compliance with specified regulatory conditions and whether they have opted for a simplified approach to calculate their own funds requirements.
Furthermore, institutions employing the standardised or basic approaches must also provide additional insights, including the breakdown of own funds requirements by risk class and details on eligible hedges used in calculations. Such transparency is essential for ensuring effective oversight and enhancing market stability.
Article 445a Disclosure of CVA risk
1. Institutions subject to the own funds requirements for CVA risk shall disclose the following information:
(a) an overview of their processes to identify, measure, hedge and monitor their CVA risk;
(b) 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;
(c) the total number of counterparties for which the standardised approach is used, with a breakdown by counterparty types.