Question ID
2023_6683
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Supervisory reporting - COREP (incl. IP Losses)
Article
430
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Regulation (EU) 2021/451 – ITS on supervisory reporting of institutions (repealed)
Article/Paragraph
.
Name of institution / submitter
DZ BANK AG
Country of incorporation / residence
Germany
Type of submitter
Individual
Subject matter
Use simplified approach to calculate additional valuation adjustment (ava)
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 on the question

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

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Article 4 of EBA/RTS/2014/06/rev1.

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