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

5.

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 fully adjusted value of the exposure (E*), taking into account both volatility and the risk-mitigating effects of collateral as follows: E^(*) = max 0, E_(VA) – C_(VAM) where: E_(VA)= the volatility adjusted value of the exposure as calculated in paragraph 3; C_(VAM)= C_(VA) further adjusted for any maturity mismatch in accordance with the provisions of Section 5;

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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.