The consultation aims to specify further how a proxy spread should be determined for the calculation of own funds requirements, and to provide additional details on a limited number of smaller portfolios. Comments can be sent to the EBA by 25 September, 2013.
The proposed draft RTS do not deal directly with the Value at Risk (VaR) spread methodology but specify the criteria this methodology has to satisfy to allow for a proxy spread to be used in the calculation of the advanced CVA adjustment. In particular, they specify how the rating, industry and region criteria should be incorporated in a proxy spread.
The requirements contained in these draft RTS are mainly addressed directly to institutions and only in some cases to competent authorities.
Comments can be sent to the EBA by 25 September, 2013. A public hearing will take place at the EBA premises on 17 July 2013 from 14:00 to 16:00 hours UK time.
The proposed draft RTS have been developed on the basis of Regulation 575/2013 published in the Official Journal of the European Union on 28 June 2013. The EBA is expected to submit these draft RTS to the European Commission for endorsement by 1 January 2014. Before submission to the Commission, the EBA will review the draft RTS to include the feedback arising from the consultation process.
Press release
Full consultation paper
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