Article 382a
1.
An institution shall calculate the own funds requirements for CVA risk for all transactions referred to in Article 382 in accordance with the following approaches:
(a)
the standardised approach set out in Article 383, where the institution has been granted permission by the competent authority to use that approach;
(b)
the basic approach set out in Article 384;
(c)
the simplified approach set out in Article 385, provided that the institution meets the conditions set out in paragraph 1 of that Article.
2.
An institution shall not use the approach referred to in paragraph 1, point (c), in combination with the approach referred to in point (a) or (b) of that paragraph.
3.
An institution may use a combination of the approaches referred to in paragraph 1, points (a) and (b), to calculate the own funds requirements for CVA risk on a permanent basis for:
(a)
different counterparties;
(b)
different eligible netting sets with the same counterparty;
(c)
different transactions of the same eligible netting set, provided that any of the conditions referred to in paragraph 5 are satisfied.
4.
For the purposes of paragraph 3, point (c), institutions shall split the eligible netting set into a hypothetical netting set containing the transactions subject to the approach referred to in paragraph 1, point (a), and a hypothetical netting set containing the transactions subject to the approach referred to in paragraph 1, point (b).
5.
For the purposes of paragraph 3, point (c), the conditions referred to therein shall comprise the following:
(a)
the split is consistent with the treatment of the legal netting set when calculating the CVA for accounting purposes;
(b)
the permission granted by competent authorities to use the approach referred to in paragraph 1, point (a), is limited to the corresponding hypothetical netting set and does not cover all transactions within the eligible netting set.
Institutions shall document how they use a combination of the approaches referred to in paragraph 1, points (a) and (b), and as set out in this paragraph, to calculate the own funds requirements for CVA risk on a permanent basis.