+Article 223 2.
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Article 223 2.
Institutions shall calculate the volatility-adjusted value of the collateral (CVA) they need to take into account as follows:
where:
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C
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=
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the value of the collateral;
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HC
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=
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the volatility adjustment appropriate to the collateral, as calculated under Articles 224 and 227;
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Hfx
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=
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the volatility adjustment appropriate to currency mismatch, as calculated under Articles 224 and 227.
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Institutions shall use the formula in this paragraph when calculating the volatility-adjusted value of the collateral for all transactions except for those transactions subject to recognised master netting agreements to which the provisions set out in Articles 220 and 221 apply.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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