EBA-CP-2015-21 (CP on GL on Treatment of CVA Risk under SREP).pdf
EBA-CP-2015-21 (CP on GL on Treatment of CVA Risk under SREP)
EBA-CP-2015-21 (CP on GL on Treatment of CVA Risk under SREP)
EBA-CP-2015-14 (CP on RTS on CVA exemption)
The European Banking Authority (EBA) launched today a consultation on Regulatory Technical Standards (RTS) on the procedures for excluding transactions with non-financial counterparties (NFCs) established in a third country from the own funds requirement for credit valuation adjustment (CVA) risk. The proposed RTS align the treatment of NFCs established in a third country with the treatment of EU NFCs. The consultation runs until 5 November 2015.
EBA results from the 2014 Low Default portfolio (LDP) exercise
EBA report on CCR benchmarking 2014
Final draft RTS correcting Delegated Regulation (EU) 528\2014
ITS Annex 1 updated
Technical Advice on benchmarking pursuant to Art 78(9) (EBA-Op-2015-04)
EBA Report on CVA
EBA-Op-2015-02 (EBA Opinion on CVA risk)
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) laying out the requirements related to prudent valuation adjustments of fair valued positions. The objective of these draft RTS is to determine prudent values that can achieve an appropriate degree of certainty while taking into account the dynamic nature of trading book positions. These standards will be part of the EU Single Rulebook in banking aimed at enhancing regulatory harmonisation.
The European Banking Authority (EBA) has decided to make a specific and limited amendment to its final draft Regulatory Technical Standards (RTS) on Prudent Valuation published on 31 March 2014. As a consequence of this decision, all occurrences of ‘volatility’ in Article 9 and Article 10 of the final draft RTS published on 31 March 2014 should be replaced by ‘variance’ for the purposes of computing market price uncertainty and close-out costs additional valuation adjustments (AVAs).
Second template
EBA QAs on CVA data collection
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.