Amending RTS on CVA proxy spread

status: Final draft adopted by the EBA and submitted to the European Commission

These amending RTS on CVA proxy spread address difficulties associated with the determination of proxy spreads for large numbers of counterparties as well as issues linked with LGDMKT. They specify cases where alternative approaches can be used for the purposes of identifying an appropriate proxy spread and LGDMKT thus leading to a more adequate calculation of own funds requirements for CVA risk.

Press Release

Consultation Papers