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

3.

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 exposure (E_(VA)) they need to take into account as follows: E_(VA) = E · (1 + H_(E)) where: E= the exposure value as would be determined under Chapter 2 or Chapter 3, as applicable, where the exposure was not collateralised; H_(E)= the volatility adjustment appropriate to the exposure, as calculated under Articles 224 and 227. In the case of OTC derivative transactions institutions shall calculate E_(VA) as follows: E_(VA) = E.

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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.