Question ID
2026_7740
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
384
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Type of submitter
Credit institution
Subject matter
Interaction of Alpha (α) value between EAD calculation (IMM/SA‑CCR) and BA‑CVA calculation
Question

What should be the value of 'α' divisor in the SCVAc calculation when the exposure input (EADCNS) has been calculated using an Alpha different from '1.4'?

 

Background on the question

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".

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 the regulatory framework, which is sufficiently clear and unambiguous.

The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.

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