European Banking Authority Consults On Draft Guidelines On Treatment Of Credit Valuation Adjustment Risk Under Supervisory Review And Evaluation Process
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On November 12, 2015, the EBA published a consultation paper including draft Guidelines on the treatment of Credit Valuation Adjustment risk further to the Supervisory Review and Evaluation Process...
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On November 12, 2015, the EBA published a consultation paper
including draft Guidelines on the treatment of Credit Valuation
Adjustment risk further to the Supervisory Review and Evaluation
Process under the CRR. The draft Guidelines implement the
recommendations of the EBA's report on CVAs published in
February 2015 and aim to form a common and proportionate approach
to determine: (i) the materiality of CVA risk for an institution;
(ii) material CVA risk under the SREP; and (iii) adequate
additional own fund requirements where risks aren't
sufficiently covered. The EBA has also published a data collection
exercise for a Quantitative Impact Study to ensure the appropriate
calibration of threshold values. The Guidelines will be finalized
once the consultation process and QIS are complete. National
regulators will then have two months from the date of publication
of the translated versions of the guidelines on the EBA website to
report whether or not they comply with the Guidelines. Comments on
the consultation are due by February 12, 2016. It is expected that
the data collection exercise will be completed by January 28,
2016.
The consultation paper and draft Guidelines are available
at:
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