EBU Single Rulebook Q&A 24 August 2015 2015_2252 Break clauses in capital requirements and Residual maturity
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European Union · · · 09-12-2016
In a swap contract with break clauses, basically with an enforceable option of early termination by one of the counterparties, which is the residual maturity to be considered for the application of the CVA capital charge in article 384 of CRR? The residual maturity of the original contract or the residual maturity for the break clause date?
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