The European Banking Authority (EBA) has published draft amending Regulatory Technical Standards (RTS) on credit valuation adjustment (CVA) proxy spread. The RTS propose certain amendments to Commission Delegated Regulation (EU) No. 526/2014 for determining proxy spread and limited smaller portfolios for CVA risk, based on two policy recommendations contained in an earlier EBA CVA report published on 25 February 2015.

View EBA publishes draft amending technical standards on CVA proxy spread, 21 June 2017