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CRR-EBA consults on credit valuation adjustment risk

The European Banking Authority (EBA) has published a consultation paper on
draft regulatory technical standards (RTS) for credit valuation adjustment risk
(CVA) to specify how a proxy spread should be determined for the calculation of
own funds requirements and to provide additional details on a limited number of
smaller portfolios.

The draft RTS set out in Article 6 the requirements of the institutions to
calculate and report on their transaction level adherence to the CVA limits to
their competent authority.

Comments are requested by 25 September 2013. A public hearing on the RTS will be held on 27 July.

 Related Link:

http://www.eba.europa.eu/documents/10180/331125/EBA_CP_2013_24.pdf

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