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Article 239 › 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

For transactions subject to funded credit protection under the Financial Collateral Comprehensive Method, institutions shall reflect the maturity of the credit protection and of the exposure in the adjusted value of the collateral according to the following formula: where: CVA the volatility adjusted value of the collateral as specified in Article 223(2) or the amount of the exposure, whichever is lower; t the number of years remaining to the maturity date of the credit protection calculated in accordance with Article 238, or the value of T, whichever is lower; T the number of years remaining to the maturity date of the exposure calculated in accordance with Article 238, or five years, whichever is lower; t* 0,25. Institutions shall use CVAM as CVA further adjusted for maturity mismatch in the formula for the calculation of the fully adjusted value of the exposure (E*) set out in Article 223(5).

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Source: EUR-Lex CELLAR · retrieved 2026-09-04