4.27 The PRA proposed to introduce an alternative approach (AA-CVA) for firms with limited non-centrally cleared OTC derivatives. Firms with a notional amount of non-cleared derivatives less than or equal to £88 billion would (subject to pre-notifying the PRA) be permitted to use the AA-CVA. The AA-CVA approach would set CVA risk capital requirements equal to 100% of the CCR capital requirements.

4.28 Respondents generally supported the proposed alternative approach. One respondent suggested that the AA-CVA notional threshold should be based only on the notional amount of non-centrally cleared derivatives that are in scope of CVA risk requirements. One respondent requested clarification as to whether SFT exposures that are calculated under the credit risk mitigation (CRM) framework rather than the CCR framework should be included in AA-CVA calculations [Firms have the option to include SFT exposures under the CRM framework or CCR framework.].