Question ID
2021_6244
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
384
Paragraph
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
5.8
Type of submitter
Credit institution
Subject matter
Discount factor for the exposure under the standardised CVA risk capital requirement
Question

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

Background on the question

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.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question