The European Banking Authority (EBA) has launched a consultation on draft regulatory technical standards (RTS) for determining proxy spread and limited smaller portfolios for credit valuation adjustment (CVA) under article 383(7) of the Capital Requirements Regulation (CRR).
In its CVA report published on 25 February 2015 the EBA set out certain policy recommendations including that the applicable RTS on CVA risk for the determination of a proxy spread (Delegated Regulation (EU) No 526/2014) be amended to address the difficulties associated with the determination of proxy spreads for large numbers of counterparties, for which spreads may never be observed on markets, as well as issues linked with LGD mkt. The draft RTS set out in the consultation propose certain amendments to Delegated Regulation (EU) No 526/2014 that are intended to address the issues by further specifying cases where alternative approaches can be used for the purposes of identifying an appropriate proxy spread and LGD mkt.
The deadline for comments on the consultation is 6 July 2016.
View EBA consults on amendments to CRR RTS on CVA risk, 6 April 2016