EBA · 2021_6244 Rejected question

Discount factor for the exposure under the standardised CVA risk capital requirement

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
384, para. 1
Topic
Market risk
Submitted by
Credit institution
Submitted
2021-10-19
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Question

Is it still correct for non-IMM banks to discount the exposure according to Article 384 CRR?

Background

Article 384 paragraph 1 CRR was changed by CRR II with regard to the definition of the EAD. From our point of view, this is primarily an editorial adjustment. In the recently published consolidated text of CRR II, the following sentence on the application of the discount factor was also deleted ( https://eur-lex.europa.eu/eli/reg/2013/575/2021-06-29 ). The deletion of the sentence following the EAD definition in the consolidated text is inappropriate. The discount factor continues to apply in accordance with the Basel framework for credit valuation adjustment risk (CVA). At this point, CRR II does not change anything.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6244

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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