Skip to main content
Response to consultation on amending RTS on CVA proxy spread
Go backQuestion 1: Do stakeholders agree with the amendment?
Please see attached response letterQuestion 2: Could stakeholders elaborate on the type of alternative credit quality assessments to be performed and on the precise cases or type of counterparties, for which such alternative credit quality assessments would be absolutely necessary, in particular, where relevant, with reference to accounting CVA treatment?
Please see attached response letterQuestion 3: Do stakeholders agree with the amendment? Do stakeholders consider that an additional condition is necessary on rating?
Please see attached response letterQ4: In case the approaches proposed to correct the negative gamma and/or the behavioural factors are deemed to be too burdensome, what simpler alternative adjustments may be applied to correct the modified duration?
Please see attached response letterQuestion 5: Could stakeholders elaborate on cases (types of counterparties, business activities) where this adjustment would have a particularly significant impact and on the rationale for performing the adjustment in such cases?
Please see attached response letterQuestion 6: What are stakeholders’ views on proposed Options A and B?
Please see attached response letterQuestion 7: Do stakeholders consider that other amendments to the RTS would need to be performed as part of this revision? Please provide rationale.
Please see attached response letterName of organisation
ISDA-AFME
