Regulatory Technical Standards amending RTS on CVA proxy spread

  • Status: Final draft RTS/ITS 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.

Summary of document history

Previous versions Current version Ongoing versions

Consultation on amending RTS on CVA proxy spread

  • Status: Closed
  • Deadline: 6 JULY 2016
Documents
Consultation Paper

(293.94 KB - PDF) Last update 6 April 2016

Responses

The form is now closed.

Received responses to the EBA

Public hearings

Public hearing on the draft amending RTS on CVA proxy spread

Press contacts

Franca Rosa Congiu