On February 25, 2015, the European Banking Authority published an Opinion addressed to the European Commission on Credit Valuation Adjustment. The Opinion deals with several aspects of the calculation of own funds requirements for CVA risk. Sixteen recommendations are listed in the Opinion, including: (i) clarifying by means of an amendment to the Capital Requirements Regulations that exchange-traded derivatives are included in the scope of CVA risk charge; (ii) harmonising the treatment of securities financing transactions in the EU; and (iii) clarifying the standardised method for CVA. The Opinion was published by the EBA simultaneously alongside a Report and Review on CVA and the application of CVA charges to non-financial counterparties established in a third country under the CRR. The documents have now been submitted for consideration by the European Commission.
The Opinion is available at: http://www.eba.europa.eu/documents/10180/983359/EBA-Op-2015-02+%28EBA+Opinion+on+CVA+risk%29.pdf; and the Report and Review is available at: http://www.eba.europa.eu/documents/10180/950548/EBA+Report+on+CVA.pdf.
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