Question ID:
2013_692
Legal Act:
Regulation (EU) No 575/2013 (CRR)
Topic:
Market risk
Article:
382
Paragraph:
1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:
Not applicable
Article/Paragraph:
NA
Disclose name of institution / entity:
Yes
Name of institution / submitter:
AFME - Association for Financial Markets in Europe
Country of incorporation / residence:
UK
Type of submitter:
Industry association
Subject Matter:
CVA for client exposures
Question:

Are exchange traded derivatives (ETDs) in scope in terms of CVA applicability?

Background on the question:

AFME has observed divergent interpretations within industry regarding CVA treatment of exposures relating to ETDs. Per Article 382(1) of Regulation (EU) No 575/2013 (CRR), the requirement is for institutions to "calculate the own funds requirements for CVA risk for all OTC derivative instruments" (other than credit derivatives recognised to reduce risk-weighted exposure amounts for credit risk). It is not clear therefore whether ETDs are in scope.

Date of submission:
23/12/2013
Published as Final Q&A:
23/05/2014
Final Answer:

In accordance with Article 382(1) of Regulation (EU) No. 575/2013, the CVA charge is intended specifically to capture all OTC derivative instruments. Thus ETDs are excluded from the scope.

Status:
Final Q&A
Answer prepared by:
Answer prepared by the EBA.
Note to Q&A:
Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.
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