ISDA/AFME Response To The EBA’s Second Consultation On Draft RTS For CVA Risk

This letter contains the response of the International Swaps and Derivatives Association, Inc. (“ISDA”) and the Association for Financial Markets in Europe (“AFME”) to the European Banking Authority’s (“EBA”) Consultation Paper 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 under Article 383 of Regulation (EU) 575/2013 (Capital Requirements Regulation - CRR). The accompanying response is the result of a thorough industry consultation process involving a wide range of industry representatives. It is reflective of the industry consensus on this topic and aims at being as constructive as possible in seeking a proportionate outcome and additional flexibility.

Click here to download the ISDA/AFME response to the EBA’s second consultation on draft RTS for CVA risk.