Knobloch, Alois Paul; Krauß, Felix - In: Credit and Capital Markets – Kredit und Kapital 54 (2021) 2, pp. 265-299
Common Equity Tier 1 capital of credit institutions is adjusted by the prudential filter for the cash flow hedge reserve according to art. 33(1)(a) CRR. Thereby, fair value changes of hedging instruments, especially of derivatives, are neutralized by imputed fair value changes of future cash...