Question ID
2023_6899
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
384
Paragraph
3
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
n.a.
Type of submitter
Credit institution
Subject matter
Application of discount scalar (DS) in the calculation of CVA under reduced basic approach described in Article 384(3)
Question

Shall a discount scalar (DS) equal to 0,65 be applied to a calculation of CVA under reduced basic approach under article 384(3)? 

Background on the question

Article 384 presents two alternative formulas for calculation of own funds requirement for CVA risk under basic approach (BA-CVA). The full version of BA-CVA described in the Article 384(2) includes in the calculation one or more eligible hedges recognised in accordance with article 386. Institutions which do not not include any eligible hedges in the calculation of own funds requirements of CVA risk, shall follow the reduced version of BA-CVA  described in Article 384(3) of the CRR. 

 

Comparing the two alternative formulas, when eliminating the effect of hedging, full version of BA-CVA gives more advantageous results than the reduced version, due to the application of discount scalar equal to 0,65 presented in Article 384(2). 

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the matter it refers to is related to on-going revision of Regulation (EU) No 575/2013 (so-called CRR3 legislative process), and hence is referring to acts that are not yet in force.

For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.

Status
Rejected question