EBA · 2026_7740 Rejected question

Interaction of Alpha (α) value between EAD calculation (IMM/SA‑CCR) and BA‑CVA calculation

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
384, para. 2
Topic
Market risk
Submitted by
Credit institution
Submitted
2026-03-04
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Question

What should be the value of 'α' divisor in the SCVA c calculation when the exposure input (EAD C NS ) has been calculated using an Alpha different from '1.4'?

Background

Article 384(2) provides for the removal of the “Alpha effect” from exposure inputs through a fixed divisor of 1.4. However, exposure at default (EAD) can be an input from IMM or SA‑CCR for U-TREA and using SA-CCR for S-TREA (subject to Q&A 2025_7429 answer), each of which may incorporate different Alpha values: IMM can apply an alpha value of >=1.2 as per Article 284(4) and(9), which can differ for each bank SA‑CCR applies a fixed Alpha of 1.4 for U-TREA SA‑CCR applies a fixed Alpha of 1 for S-TREA until end of 2029 as per article 465(4) Footnote 4 to Basel MAR 50.15 refers to "α as the multiplier used to convert Effective expected positive exposure (EEPE) to EAD in both SA-CCR and IMM. Its role in the calculation, therefore, is to convert the EAD of the netting set (EADNS) back to EEPE".
No answer published yet.

Original source: European Banking Authority, Q&A ID 2026_7740

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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