- Question ID
-
2023_6922
- Legal act
- Regulation (EU) No 575/2013 (CRR)
- Topic
- Market risk
- Article
-
105
- Paragraph
-
14
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Not applicable
- Article/Paragraph
-
EBA RTS 2014-06 Article 12
- Type of submitter
-
Individual
- Subject matter
-
CVA hedges in the calculation of UCS
- Question
-
When calculating Unearned Credit Spread (UCS) is it allowed to include CVA hedges as well?
- Background on the question
-
The calculation of UCS purely based on CVA exposures may result in an inaccurate capture of CVA risks. CVA hedges mitigate CVA risk.
- Submission date
- Rejected publishing date
-
- Rationale for rejection
-
This question has been rejected because the objective of the Q&A tool is not to answer questions that put into doubt the correctness of the legal framework, seek a modification of the legal framework or would require such a modification in order to address the question.
For further information on the purpose of this tool and on how to submit questions, please see “Additional background and guidance for asking questions”.
- Status
-
Rejected question