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