Article 1 › 3

For the calculation of the own funds requirements for CVA risk in accordance with Article 384, only positions in the following hedging instruments shall be recognised as eligible hedges: (a) single-name credit default swaps and single-name contingent-credit default swaps, referencing: (i) the counterparty directly; (ii) an entity legally related to the counterparty, where legally related refers to cases where the reference name and the counterparty are either a parent undertaking and its subsidiary or two subsidiaries of a common parent; (iii) an entity that belongs to the same sector and region as the counterparty; (b) index credit default swaps.

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