EBA: Consultation paper on 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)

This is described as the second consultation on draft regulatory technical standards for credit valuation adjustment risk to further specify 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. These standards will be part of the single rulebook aimed at enhancing regulatory harmonisation in Europe. Responses are required by 25 September 2013