10 July 2014
The European Banking Authority (EBA) published today a list of Q&As on the Credit Valuation Adjustment (CVA) data collection exercise, which was launched on 30 April 2014 with the aim of advising the European Commission on appropriate amendments to the CVA framework at EU level and inform discussions on the CVA risk charge in Basel.
To address some of the issues raised by the industry as well as to ensure consistency in the conduct of the exercise, the EBA also published a second template, which participating banks are asked to fill in and to submit, together with the main template, to their respective National Supervisory Authorities (NSAs) by 31 July 2014.
The EBA will perform data quality checks during the first week of August. Where necessary, banks will be asked to complete and resubmit templates by 29 August 2014. The EBA will then finalise the data analysis during the first week of September.