30 April 2014
The European Banking Authority (EBA) launches today 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. Banks with substantial portfolios of OTC derivatives are encouraged to participate in this data collection exercise on a voluntary basis.
The EBA will use the data collection exercise in order to inform the recommendations made in its report to the European Commission (EC) on CVA risk in accordance with CRR Article 456(2); the exercise 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 CRR Article 382(5). Where appropriate, the EBA will use the conclusions of its CVA report to inform international discussions on CVA risk.
This data collection exercise will be carried out on a voluntary basis. However, the EBA expects banks with relatively substantial portfolios of OTC derivatives to participate in the exercise, regardless of whether they use the advanced or the standardised method for CVA risk. In this respect, the EBA has prepared a standardised template that participating banks will be requested to fill in. In order to help banks fill in the template, instructions are also available on the website.
Participating banks are expected to submit the template of the data collection exercise to their respective National Supervisory Authority by 31 July 2014.
Throughout the exercise, participating banks can submit questions on the template or instructions, together with a suggested answer, by e-mail to CVAemail@example.com.
Participating banks will be invited to a presentation of the main outcome of the data collection exercise in the EBA premises in September 2014.
The EBA intends to publish its CVA report in December 2014.