Question ID
2013_622
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Other topics
Article
Art 384
Paragraph
Para. 1
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
Art. 384 Para. 1
Type of submitter
Competent authority
Subject matter
Credit valuation adjustment, standardized method to calculate own funds requirement
Question

"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.

Submission date
Rejected publishing date
Rationale for rejection

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Status
Rejected question