EBA has published responses to its consultation on guidelines on the treatment of credit value adjustment (CVA) risk under the supervisory review and evaluation process (SREP). The draft guidelines address how national regulators should:

  • determine the relevance and materiality of CVA risk for an institution;
  • assess any material CVA risk under SREP;
  • assess the adequacy of own funds to cover material CVA risk; and
  • determine additional own funds requirements, where the risk is not adequately covered by the minimum own funds requirements, in particular due to the exemptions in the EU legislative framework.

EBA has made 14 responses available from a range of banking and investment industry participants. (Source:EBA publishes responses on CVA risk treatment)