2. CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

2.

CRR

REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

Institutions shall calculate the volatility-adjusted value of the collateral (C_(VA)) they need to take into account as follows: C_(VA) = C · (1 – H_(C) – H_(fx)) where: C= the value of the collateral; H_(C)= the volatility adjustment appropriate to the collateral, as calculated under Articles 224 and 227; H_(fx)= the volatility adjustment appropriate to currency mismatch, as calculated under Articles 224 and 227. Institutions shall use the formula in this paragraph when calculating the volatility-adjusted value of the collateral for all transactions except for those transactions subject to recognised master netting agreements to which the provisions set out in Articles 220 and 221 apply.

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.