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FINREP 4.4validation

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Annex V text editions

What's new FINREP 4.2.1 → 4.4

A release is the EBA package of templates and rules. A variant is an alternative set of templates inside a release (IFRS 18 replaces some IAS 1 templates). Annex V editions are versions of the instruction text.

CRR — Regulation (EU) No 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation) · version 2026-06-26 · CELEX 32013R0575 · consolidated text, no legal effect (EUR-Lex)

CRR › Article 276

Article 276 Recognition and treatment of collateral

official text, verbatim

1

For the purposes of this Section, institutions shall calculate the collateral amounts of VM, VMMA, NICA and NICAMA, by applying all the following requirements:

1(a)

where all the transactions included in a netting set belong to the trading book, only collateral that is eligible under Articles 197 and 299 shall be recognised;

1(b)

where a netting set contains at least one transaction that belongs to the non-trading book, only collateral that is eligible under Article 197 shall be recognised;

1(c)

collateral received from a counterparty shall be recognised with a positive sign and collateral posted to a counterparty shall be recognised with a negative sign;

1(d)

the volatility-adjusted value of any type of collateral received or posted shall be calculated in accordance with Article 223;

1(e)

the same collateral item shall not be included in both VM and NICA at the same time;

1(f)

the same collateral item shall not be included in both VMMA and NICAMA at the same time;

1(g)

any collateral posted to the counterparty that is segregated from the assets of that counterparty and, as a result of that segregation, is bankruptcy remote in the event of the default or insolvency of that counterparty shall not be recognised in the calculation of NICA and NICAMA.

2

For the calculation of the volatility-adjusted value of collateral posted referred to in point (d) of paragraph 1 of this Article, institutions shall replace the formula set out in Article 223(2) with the following formula:

CVA = C · (1 + HC + Hfx)

where:

CVA = the volatility-adjusted value of collateral posted; and

C = the collateral;

Hc and Hfx are defined in accordance with Article 223(2).

3

For the purposes of point (d) of paragraph 1, institutions shall set the liquidation period relevant for the calculation of the volatility-adjusted value of any collateral received or posted in accordance with one of the following time horizons:

3(a)

one year for the netting sets referred to in Article 275(1);

3(b)

the margin period of risk determined in accordance with point (b) of Article 279c(1) for the netting sets referred to in Article 275(2) and (3).