EBU Single Rulebook Q&A 13 October 2014 2014_1544 Calculation and Application of incurred CVA per Article 273(6)
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European Union · · · 09-12-2016
We would like to clarify how the incurred Credit Valuation Adjustments (CVA) per Article 273(6) Regulation (EU) No 575/2013 (CRR) should be applied to the COREP templates. In particular:1. Should the CVA per Article 273 CRR be included in the calculation of Counterparty Credit Risk (CCR) Exposures? We believe it should be.2.
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