Article 386 › 2 CRR — REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND…

Article 386 › 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

An institution shall not reflect other types of counterparty risk hedges in the calculation of the own funds requirements for CVA risk. In particular, tranched or nth-to-default credit default swaps and credit linked notes are not eligible hedges for the purposes the calculation of the own funds requirements for CVA risk.

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