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Offset of Additional Value Adjustments (AVA) against day one profits deferral

Under Article 8(3), is day one profit deferral eligible to offset the AVAs under Articles 9, to 17 of Regulation (EU) No. 2016 / 101?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2019_4458| Topic: Market risk| Date of submission: 14/01/2019

AVA calculation and tax effects

Should Additional Value Adjustments (AVAs) be calculated net of tax effects for the purpose of the CET1 deduction in Article 34?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2016_2658| Topic: Market risk| Date of submission: 04/03/2016

Valuation input consisting of a matrix of parameters

For the purposes of calculating AVAs for Market Price Uncertainty, where a valuation input consists of a matrix of parameters (for example a curve or a surface), can the AVAs be calculated at the level of the matrix as a whole (i.e. the curve or surface) based on the valuation exposures related to each parameter within that matrix, rather than be calculated at the individual parameter level?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2016_2948| Topic: Market risk| Date of submission: 18/10/2016

Review and validation of criteria for the use of a reduced number of parameters

For purposes of internal independent review and annual validation of the netting methodology, can the testing be based on historical data from the most recent 100 trading days for the same or similar valuation inputs?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2016_2949| Topic: Market risk| Date of submission: 18/10/2016

Calculation of the threshold for using the simplified approach for the determination of AVAs.

Exactly matching, offsetting fair-valued assets and liabilities shall be excluded from the calculation of the threshold for the simplified approach in the determination of AVAs. Does “exactly matching” refer to specific conditions regarding the counterparties of assets and liabilities that otherwise may qualify to be offset?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2016_2756| Topic: Market risk| Date of submission: 30/05/2016

Calculation of the threshold for applying the Simplified approach for Additional Valuation Adjustment (AVA).

We are interested in knowing: 1. If for the calculation of the thresholds asset and Liabilities under the FVO regime have to be (proportionally) taken into account (indeed, EBA RTS does not explicitly include them within the list of valuation positions for which a proportional calculation of the threshold can be applied- see EBA RTS introduction notes, subsection 3; on the other hand the EBA RTS does not explicitly excluded them). According to our view the answer to this question is yes (art. 34 states that additional value adjustments - calculated according to article 105 - shall apply to all fair value positions and not only to the trading book). 2. If the answer to question 1) is yes then we are interest in knowing how to calculate the part that should be taken into account (i.e. the part that is not deriving from the own credit spread movements; the part that has an impact on CET1); we would like to know the criterion that should be used in order to calculate the “proportional part” of these stocks (of asset or liabilities) that is impacting the CET 1. 3. If the answer to question 1 is yes and if the bank hedges the “the interest rate component” (that has impacts on CET1 ratio) of the asset or liability at FVO we are interested in knowing if this component has to be taken into account in order to calculate the part of the Assets/Liabilities that is going to be considered for the thresholds calculation? 4. Does the answer to question 3 changes if the interest rate component is hedged “back to back” (reference to Q&A n. 29) with external counterparties or only hedged with a “portfolio approach”? Moreover, it is correct to consider as “not back to back hedges” (then a situation in which still the interest rate movements determine some P&L and consequently CET 1 effects) the situation in which there is a hedge back to back with a subsidiary that manages the interest rate risk with “portfolio approach”? 5. Which is the meaning of “exactly matching, offsetting positions (art. 105 (14) point 3” to be excluded in the calculation of Simplified Approach threshold? Does it mean only an asset position and the corresponding position took as a liability, that exactly match each other in term of security type and amount (e.g. € 1 mln long position in Google equity stock in the trading book portfolio and 1 € mln short position on Google stock) or the meaning refers also to perfect hedging strategy (e.g. long the stock, short the equity futures with delta =0)?

Legal act: Regulation (EU) No 575/2013 (CRR) as amended

COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR

ID: 2015_1715| Topic: Market risk| Date of submission: 08/01/2015