Is it still correct for non-IMM banks to discount the exposure according to Article 384 CRR?
Article 384 paragraph 1 CRR was changed by CRR II with regard to the definition of the EAD. From our point of view, this is primarily an editorial adjustment. In the recently published consolidated text of CRR II, the following sentence on the application of the discount factor was also deleted (https://eur-lex.europa.eu/eli/reg/2013/575/2021-06-29).
The deletion of the sentence following the EAD definition in the consolidated text is inappropriate. The discount factor continues to apply in accordance with the Basel framework for credit valuation adjustment risk (CVA). At this point, CRR II does not change anything.
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