Credit Valuation Adjustment Risk (CRR)

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Level of Application


Title II of Part One (Level of application) of the CRR applies to Chapter 3 of this Part as that Title applies to Part Three (Capital Requirements) of the CRR.


Own Funds Requirements for Credit Valuation Adjustment Risk (Part Three CRR, Title VI CRR)

Article 385 Alternative to Using CVA Methods for Calculating Own Funds Requirements

As an alternative to Article 384, for instruments referred to in Article 382 and subject to the prior consent of the competent authority, institutions using the Original Exposure Method as laid down in Article 282 may apply a multiplication factor of 10 to the resulting risk-weighted exposure amounts for counterparty credit risk for those exposures instead of calculating the own funds requirements for credit valuation adjustment (CVA) risk.

[Note: This is a permission under section 144G and 192XC of FSMA to which Part 8 of the Capital Requirements Regulations applies]

[Note: This rule corresponds to Article 385 of the CRR as it applied immediately before revocation by the Treasury.]

[Note: Article 386 remains in the CRR]