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The European Banking Authority (EBA) launched today a public consultation on draft amending Regulatory Technical Standards (RTS) on credit valuation adjustment (CVA) proxy spread. These RTS propose limited amendments to Commission’s Delegated Regulation (EU) No 526/2014 based on two policy recommendations contained in the EBA’s CVA report published on 25 February 2015. Through the proposed amendments the EBA expects to ensure a more adequate calculation of own funds requirements for CVA risk. The consultation runs until 06 July 2016.

The European Banking Authority (EBA) launched today a public consultation on draft Guidelines on corrections to modified duration for debt instruments. These Guidelines aim to establish what type of adjustments to the modified duration (MD) - as defined according to the formulas in the Capital Requirements Regulation (CRR) - have to be performed in order to appropriately reflect the effect of the prepayment risk. The consultation runs until 22 June 2016.

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.

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.