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