EBU Single Rulebook Q&A 27 July 2022 2022_6529 Maturity floor in Standard Method for CVA

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European Union · · · 11-11-2022

Shall a floor equal to 1 - according to Article 162(2)(b)CRR- be applied also for derivatives that are not subject to a master netting agreement?For example, if you have an exposure to a counterparty consisting of a single derivative not subject to a master netting agreement and expiring in 6 months, is the effective maturity to be entered equal to 0.5 or 1?

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