Article 1 › 7 CRR3 — REGULATION (EU) 2024/1623 OF THE EUROPEAN PARLIAMENT AND OF…

Article 1 › 7

CRR3

REGULATION (EU) 2024/1623 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 31 May 2024 amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (Text with EEA relevance) · European Union

‘7. If an institution is not able to model collateral jointly with the exposure, it shall not recognise in its exposure value calculations for OTC derivatives the effect of collateral other than cash of the same currency as the exposure itself, unless the institution uses the volatility adjustments under the standard Supervisory Volatility Adjustments Approach in accordance with Chapter 4.’

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