The European Banking Authority is consulting on guidelines on the treatment of CVA risk under the supervisory review and evaluation process (SREP), as well as a data collection exercise for the Quantitative Impact Study (QIS) to calibrate the threshold values. The guidelines aim to provide a common European approach to the assessment of CVA risk under SREP, including adequacy of capital to cover for this risk, and the determination of any potential additional own funds requirements.

The consultation runs until 28 January 2016.