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The EBA advises the European Commission on Credit Valuation Adjustment (CVA) risk 

February 27, 2015

European Banking Authority

The European Banking Authority (EBA) published today an Opinion addressed to the European Commission on several aspects related to the calculation of own funds requirements for Credit Valuation Adjustment (CVA) risk. The sixteen policy recommendations in the Opinion build on an extensive technical analysis conducted by the EBA, which is also published today in the form of a Report and a Review. Based on the findings of the Report, the Commission may adopt a delegated act.

The CVA data collection exercise conducted by the EBA on a sample of 32 banks across 11 jurisdictions has highlighted the materiality of the CVA risks that are currently not covered by EU legislation due to some exemptions provided for in the Capital Requirements Regulation (CRR). Overall, the EBA is of the opinion that EU exemptions on the application of CVA charges should be reconsidered or removed, since they leave potential risks uncaptured. However, the EBA also thinks that any action should be taken in this regard only after a Basel review of the CVA framework as part of the fundamental review of the trading book.

Read More: European Banking Authority 

 
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