Question ID
2024_7211
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
384
Paragraph
2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
N/A
Type of submitter
Credit institution
Subject matter
Calculation of the EAD in BA-CVA
Question

To compute the BA-CVA, on netting sets for which an institution computes the EAD using its IMM model, can you confirm that the EAD calculated using current market data should be used?

Background on the question

Article 284 of the CRR details the Exposure value computation for an institution permitted to use an internal method (IMM).

Paragraph 284.4 states that "Exposure value" is computed as "alpha (α) times Effective EPE". Paragraph 284.3 adds that the own fund requirement (OFR) for counterparty credit risk is the higher of the OFR “calculated on the basis of Effective EPE using current market data” and the OFR “calculated on the basis of Effective EPE using a single consistent stress calibration”.

Article 384 of the CRR related to the BA-CVA states that the EAD to be used to compute this metric is “the counterparty credit risk exposure value[…] including the effect of collateral in accordance with the methods set out in Title II, Chapter 6, Sections 3 to 6, as applicable to the calculation of the own funds requirements for counterparty credit risk referred to in article 92(4), point (a) and (f).”

Submission date
Rejected publishing date
Rationale for rejection

This question has been rejected because the issue it deals with is already explained or addressed in Article 384 of Regulation (EU) No 575/2013.

For further information on the purpose of this tool and on how to submit questions, please see 'Additional background and guidance for asking questions'.

Status
Rejected question