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Regulatory Technical Standards on prudent valuation
EBA-CP-2015-27 CP on RTS on Assessment methodology.pdf
EBA-CP-2015-27 CP on RTS on Assessment methodology
Guidelines on the treatment of CVA risk under SREP
EBA consults on draft Guidelines on the treatment of CVA risk under SREP
The European Banking Authority (EBA) launched today a public consultation on Guidelines on the treatment of credit value adjustment (CVA) risk under the supervisory review and evaluation process (SREP), as well as a data collection exercise for the Quantitative Impact Study (QIS) to calibrate the threshold values. These Guidelines are based on a policy recommendation contained in the EBA’s CVA report and aim to provide a common European approach to the assessment of CVA risk under SREP, including adequacy of capital to cover for this risk, and the determination of any potential additional own funds requirements. The public consultation runs until 12 February 2016 and the data collection exercise should be completed on 28 January 2016.
Regulatory Technical Standards on the definition of materiality thresholds for specific risk in the trading book
Annex 1 (Instructions for QIS on CVA SREP GLs).pdf
Annex 1 (Instructions for QIS on CVA SREP GLs)
Annex 2- QIS Template.xlsx
Annex 2- QIS Template
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)
Consultation on RTS on exclusion from CVA of non-EU non-financial counterparties
EBA-CP-2015-14 (CP on RTS on CVA exemption).pdf
EBA-CP-2015-14 (CP on RTS on CVA exemption)
EBA consults on technical standards on exemption of non-financial counterparties (NFCs) from CVA risk charge
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.pdf
EBA results from the 2014 Low Default portfolio (LDP) exercise
EBA report on CCR benchmarking 2014
EBA report on CCR benchmarking 2014
FINAL DRAFT RTS CORRECTING DELEGATED REGULATION (EU) 528- 2014.pdf
Final draft RTS correcting Delegated Regulation (EU) 528\2014
Regulatory Technical Standards on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk
ITS Annex 1 updated.pdf
ITS Annex 1 updated
EBA-Op-2015-04 Technical Advice on benchmarking pursuant to Art 78(9).pdf
Technical Advice on benchmarking pursuant to Art 78(9) (EBA-Op-2015-04)
EBA Report on CVA.pdf
EBA Report on CVA
EBA-Op-2015-02 (EBA Opinion on CVA risk).pdf
EBA-Op-2015-02 (EBA Opinion on CVA risk)