The European Banking Authority (EBA) has announced that it has launched a data collection exercise to advise the European Commission on appropriate amendments to the European Credit Valuation Adjustment (CVA) framework and inform discussions on the CVA risk charge in Basel.
The EBA will use the data collection exercise to inform the recommendations made in its report to the Commission on CVA risk in accordance with the Capital Requirements Regulation (CRR). It will also be used to support the EBA review on the application of CVA charges to non-financial counterparties established in a third country in accordance with the CRR. Where appropriate, the EBA will use the conclusions of its CVA report to inform international discussions on CVA risk.
The EBA has also published a template that participating banks will be requested to fill in. To help banks fill in the template, instructions will be published on the EBA website in early May. Participating banks are expected to submit the template of the data collection exercise to their respective national supervisory authority by 31 July 2014.
The EBA intends to publish its CVA report in December 2014.
View EBA launches data collection exercise on CVA, 30 April 2014
View QIS template – CVA report, 30 April 2014