EBA · 2019_5011 Rejected question

Purchased credit derivative protection against a counterparty credit exposure

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
382
Topic
Market risk
Submitted by
Credit institution
Submitted
2019-11-25
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Question

Does a purchased credit derivative protection against a counterparty credit exposure is out of the scope of own funds requirements for CVA risks in application of article 382?

Background

In application of article 382, credit derivatives recognized to reduce risk-weighted exposure amounts for credit derivatives are out of the scope of own funds requirements for CVA risks. The counterparty credit risk is a part of credit risk in CRR2 (chapter 6 “counterparty credit risk” is included in the Title 2 of part three “Capital requirements for credit risk”). Does it means that a purchased credit derivative protection against a counterparty credit exposure is out of the scope of own funds requirements for CVA risks in application of article 382?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2019_5011

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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