Question ID
2024_6993
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
382
Paragraph
4
Subparagraph
a
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Draft ITS on Supervisory Reporting of Institutions
Article/Paragraph
CRRIII Article 382.4.a
Type of submitter
Individual
Subject matter
Consideration of CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA
Question

It is possible to consider the CDS on itraxx main and itraxx crossover as eligible hedges in SA-CVA without including the perimeter exceptions specified in aticle 382.4?

Background on the question

Under SA-CVA method  seems to be no option to consider CDS on itraxx main and itraxx crossover as eligible coverage without including the perimeter exceptions specified in aticle 382.4.

Itraxx main and itraxx crossover do not comply with specifications in article383.b.4 and therefore their counterparty credit spread delta must be assigned to "qualified index" segmentation. However, the delta of the CVA portfolio will not be assigned to this segmentation because it does not comply with the article 383.o.3 and as a consequence the sensitivities will not be netted.

Alternatively, there would be the option of decomposing the sensitivity of the CDS into the components of itraxx main and itraxx crossover. But there are components of these indexs that do not fall within the scope of KCVA (they are exclusions from article 382.4). And according to article 382.4.a, consider these hedges would imply including all the excluded operation in 382.4.

 

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the legal basis it refers to is in the process of being revised and the issue it raises will no longer be relevant in the light of the new regulatory framework, in particular Article 383b(3) of the so called CRR3. 

The Single Rule Book Q&A tool has been established to provide explanations and non-binding interpretations on questions relating to the practical application or implementation of the provisions of legislative acts referred to in Article 1(2) of the EBA’s founding Regulation, as well as associated delegated and implementing acts, and guidelines and recommendations, adopted under these legislative acts.

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Status
Rejected question