EBA · 2023_6683 Rejected question

Use simplified approach to calculate additional valuation adjustment (ava)

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Individual
Submitted
2023-01-06
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Question

Is it permitted for an institution to use the simplified approach to calculate additional valuation adjustments (AVA) on the individual level, on condition that: i: the individual threshold ist not above the EUR 15 billion ii: this institut has fair valued positions only on the individual level (on consolidated level (group level) the institution has no fair valued position) iii. this institution is a part of a group breaching the EUR 15 billion threshold on a consolidated basis, but as mentioned before the institution has no contribution to the fair valued positions at consolidated basis

Background

According to EBA/ITS/2018/01 the simplified approach may be used on condition that the sum of the absolute value of fair-valued assets and liabilities of an institution is less than EUR 15 billion and that this institution is not included in the consolidation of a group breaching that threshold on a consolidated basis.  Our question is, if for an institution:  i. the sum of the absolute value of fair-valued assets and liabilities is less than EUR 15 billion ii: this institut has fair valued positions only at his individual level iii. this institution is a part of a group breaching the EUR 15 billion threshold on a consolidated basis, but the institution has no fair valued positions as contribution on the consolidated level
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6683

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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