We were asked to apply the CVA per Article 273(6) of the CRR to the COREP templates and in particular C 07.00. After many discussions, we were undecided which column the CVA should be applied to and indeed how to correctly apply this CVA (before or after CRM). Then what does this mean for the exposure value that feeds the CVA per Article 381.

By way of further background/example:

One interpretation would suggest the CVA would be applied to column 010 on template C 07.00 based on the instruction for form C 07.00:
ORIGINAL EXPOSURE PRE CONVERSION FACTORS
Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111(2) of CRR:
For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92 (3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.
So, this would include the incurred CVA referred to in Article 273(6).
Likewise for the c.28 large exposures (LE2) report, the instructions for column 040 tells us:
Original exposures
These columns shall contain the original exposure, i.e. the exposure value without taking into account value adjustments and provisions, which shall be deducted in column 210.
The definition and calculation of the exposure value is set out in Articles 389 and 390 of Regulation (EU) No 575/2013. The valuation of assets and off-balance-sheet items shall be effected in accordance with the accounting framework to which the institution is subject, according to Article 24 of Regulation (EU) No 575/2013.
Article 390 says:
Calculation of the exposure value
1. Exposures arising from the items referred to in Annex II shall be calculated in accordance with one of the methods set out in Part Three, Title II, Chapter 6.
So again we come back to including the incurred CVA of Article 273.

We have also heard arguments the CVA should be applied to column 030 of COREP template C 07.00 instead of column 010. An example given by a client went as follows:
The example here presumes the CVA provisions optimisation allocation has already been carried out and then applies the component parts to C07.00.a


Trade
Original Exposure (EAD) $100
Volatility adjusted funded credit protection applied under FCCM: $ 20
Adjusted EAD pre-risk weighting process $ 80

Now assume a CVA provision of $30, (applied post-collateral optimisation), trade will calculate as follows:

Original Exposure (EAD) $100
Volatility adjusted funded credit protection applied under FCCM: $ 20
CVA provision $ 30
Adjusted EAD pre-risk weighting process $ 50

For C07.00.a, the re-presented values would have to start from the $80 of the non-CVA example and add back the $20 collateral to get the original EAD of $100. The $30 would then be included in col. 030, followed by the collateral in col. 130. The end result would then be in accordance with the calc result of $50.
So our question is where the CVA per Article 273 should be applied on the COREP reports, bearing in mind that the various validations we have on the templates – as this limits possible columns where the CVA can be applied.