EBA · 2014_830 Rejected question

Interpretation of EADitotal and Mi in the standardised CVA charge.

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
Article 384,162 (2) g, 162 (2) b
Topic
Market risk
Submitted by
Industry association
Submitted
2014-02-10
Browse ECB SSM Register → More Q&As on this regulation →

Question

Where there are several trades with the same counterparty but there is no regulatory netting agreement in place: Is one EADitotal and one Mi applied per counterparty within the formula? If one EADitotal and one Mi is applied per counterpart, can the Mi be calculated as the weighted average notional? (ambiguity arises because the CRR guidance referred to on maturity only references trades in a netting set for the calculation of a weighted average notional (article 162 (2) b)) If in the above case it is determined that individual trades are to be treated separately with no weighted average notional maturity calculated, is each EAD and M applied and treated as a separate counterparty within the formula?

Background

Exposure Per article 384, EADitotal is defined as the total counterparty credit risk exposure value of counterparty “i” (summed across its netting sets) Maturity With respect to Mi, for exposures not using the internal models approach to calculate maturity, Mi is defined as average notional weighted maturity as referred to in point (b) of Article 162(2). Article 162 (2) b only refers to the calculation of average notional weighted maturity for trades that are part of a netting agreement and does not refer to the calculation of an average where there are several trades with one counterparty but no netting agreement in place. For exposures following the internal Model method, the maturity per netting set is calculated according to the formula in article 162.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2014_830

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.

Similar Q&As

CVA Standardised Method for Securities Financing Transactions (SFTs)

Answered 2017-06-30

In template C 34.02, the column Exposure Pre-CRM (column 150) aims to report EAD of all CCR exposures following articles 274 or 281 or 282 (according respective CCR method) and sub-sequent articles defining the effects of margin agreements or aims to report a new EAD value gross of all forms of collaterals and margins included in the margin agreement

Answered 2023-04-21

Weighted average of the CCF

Answered 2020-11-27

Column 100 of the C 25.00 - CVA RISK template

Answered 2018-07-27

Maturity floor in Standard Method for CVA

Answered 2022-11-11

More Q&As on this topic

Application of Article 207(2) of the CRR to financial collateral under the counterparty credit risk framework

Answered 2026-05-29

SPV repack transactions

Answered 2026-05-29

Exclusion of back-to-back positions from RRAO

Answered 2025-10-31

Sources for external classification that is commonly used in the market for grouping issuers by sector, for the purpose of CRR Article 325ah.

Answered 2025-10-17

Multilateral development banks classification for the purpose of article 325ah

Answered 2025-06-27

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.