EBA · 2013_622 Rejected question

Credit valuation adjustment, standardized method to calculate own funds requirement

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Art 384, para. Para. 1
Topic
Other topics
Submitted by
Competent authority
Submitted
2013-12-05
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Question

"Maturity" definition referred to Art 384 para. 1 for the CVA standardized method calculate for non-IMM banks only refers to Art. 162(2)(b), i.e., derivatives covered by the master netting agreement. However, if derivatives are not included in a netting set and no collateral has been taken into account, how is maturity for the purpose of CVA standardized approach calculation determined?

Background

The current text is only referred to the Art 384 para. 1 in relation to "maturity" for non-IMM banks. It is not clear on what maturity approach should be used in case of the derivatives are not included in a netting set and no collateral effect has been taken account.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2013_622

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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