EBA · 2013_692 Final Q&A

CVA for client exposures

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
382, para. 1
Topic
Market risk
Submitted by
Industry association
Submitted
2013-12-23
Answered
2014-05-23
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Are exchange traded derivatives (ETDs) in scope in terms of CVA applicability?

Background

AFME has observed divergent interpretations within industry regarding CVA treatment of exposures relating to ETDs. Per Article 382(1) of Regulation (EU) No 575/2013 (CRR), the requirement is for institutions to "calculate the own funds requirements for CVA risk for all OTC derivative instruments" (other than credit derivatives recognised to reduce risk-weighted exposure amounts for credit risk). It is not clear therefore whether ETDs are in scope.

Answer

In accordance with Article 382(1) of Regulation (EU) No. 575/2013, the CVA charge is intended specifically to capture all OTC derivative instruments. Thus ETDs are excluded from the scope.

Original source: European Banking Authority, Q&A ID 2013_692

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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