Question ID:
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Other topics
Art 384
Para. 1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Art. 384 Para. 1
Disclose name of institution / entity:
Type of submitter:
Competent authority
Subject Matter:
Credit valuation adjustment, standardized method to calculate own funds requirement

"Maturity" definition referred to Art 384 para. 1 for the CVA standardized method calculate for non-IMM banks only refers to Art. 162(2)(b), i.e., derivatives covered by the master netting agreement. However, if derivatives are not included in a netting set and no collateral has been taken into account, how is maturity for the purpose of CVA standardized approach calculation determined?

Background on the question:

The current text is only referred to the Art 384 para. 1 in relation to "maturity" for non-IMM banks. It is not clear on what maturity approach should be used in case of the derivatives are not included in a netting set and no collateral effect has been taken account.

Date of submission:
Published as Rejected Q&A
Rationale for rejection:

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Rejected question