EBA · 2023_6922 Rejected question

CVA hedges in the calculation of UCS

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
105, para. 14
Topic
Market risk
Submitted by
Individual
Submitted
2023-10-30
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Question

When calculating Unearned Credit Spread (UCS) is it allowed to include CVA hedges as well?

Background

The calculation of UCS purely based on CVA exposures may result in an inaccurate capture of CVA risks. CVA hedges mitigate CVA risk.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2023_6922

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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