This report presents the results of the first supervisory benchmarking study pursuant toArticle 78 CRD and the related draft technical standards on the internal approaches applied for the calculation of risk-weighted assets forthe large corporate, sovereign and institutions portfolios across...

This report presents the results of the supervisory benchmarking study pursuant to Article 78 of CRD and the related draft technical standards on the internal approaches applied for Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA) risk. In particular it focuses on the...

Following the introduction of stricter capital rules by the Capital Requirements Regulation (CRR) and Capital Requirements Directive (CRDIV), and in the context of credit tightening after the financial crisis, a capital reduction factor for loans to small and medium enterprises (SMEs) – the...

Regulation (EU) No 575/2013 (Capital Requirements Regulation-CRR) Article 382(4)(a) excludes from the own funds requirements for CVA risk an institution’s transactions with non-financial counterparties (NFCs), regardless of whether these NFCs are established in the EU or in a third country,...