Search
EBA publishes final draft technical standards on prudent valuation
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.
EBA publishes revised version of its final draft technical standards on prudent valuation
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).
Regulatory Technical Standards in relation to credit valuation adjustment risk
Implementing Technical Standards on appropriately diversified indices
Second_template.xlsx
Second template
EBA QAs on CVA data collection.xlsx
EBA QAs on CVA data collection
EBA publishes Q&As and additional template for CVA data collection exercise
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.
EBA-RTS-2014-10 (Final draft RTS on mkt risk model extensions and changes).pdf
Final draft RTS on market risk model extensions and changes
EBA publishes final draft technical standards on conditions for assessing materiality of extensions and changes of internal approaches for market risk
The European Banking Authority (EBA) published today its final Regulatory Technical Standards (RTS) specifying the conditions for assessing the materiality of extensions and changes of the Internal Models Approach (IMA) for market risk. These RTS complement and amend the standards on the rules for credit and operational risk which were adopted and published in the EU Official Journal on 20 May 2014.
Regulatory Technical Standards on the definition of market
Errata corrige to JC CP 2014 03.pdf
Corrigendum to JC CP 2014 03
EBA-RTS-2014-06 RTS on Prudent Valuation.pdf
EBA FINAL draft Regulatory Technical Standards on prudent valuation (rev1)
Data_related_to_market_risk-2012.xls
Data related to market risk - 2012
EBA publishes final draft technical standards on market risk and CVA risk
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the definition of market and its final draft RTS on Credit Valuation Adjustment risk (CVA risk). The latter is supplemented by an Opinion on CVA risk which further elaborates on the approach taken by the EBA in determining a proxy spread. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
EBA-Op-2013-04 (Final Opinion on CVA).pdf
Opinion of the European Banking Authority - Opinion on Credit Valuation Adjustment risk for the determination of a proxy spread (EBA/Op/2013/04)
EBA-RTS-2013-16 (Final draft RTS on the Definition of market).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the definition of market (EBA/RTS/2013/16)
EBA-RTS-2013-17 (Final draft RTS on CVA).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on credit valuation adjustment risk for the determination of a proxy spread and the
specification of a limited number of smaller portfolios (EBA/RTS/2013/17)
EBA publishes final draft technical standards on market risk
The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) related to market risk. In particular, the EBA published (i) RTS on the definition of materiality thresholds for specific risk in the trading book; (ii) ITS on closely correlated currencies; (iii) RTS on non-delta risk of options in the standardised market risk approach; and (iv) ITS on appropriately diversified indices. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).
EBA-RTS-2013-14 (Materiality Threshold).pdf
European Banking Authority Technical Standards - Final draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book (EBA/RTS/2013/14)