Guidelines on the treatment of CVA risk under SREP
- Status: Under development
The Guidelines are based on a policy recommendation contained in the EBA’s CVA report and aim to provide a common European approach to assessing CVA risk under SREP. Additionally, these Guidelines will provide a common European approach to the assessment of capital adequacy of own funds and the determination of potential additional own funds requirements for CVA risk.
In June 2017 the Guidelines on the treatment of CVA risk under SREP were put on hold until further notice, due to continued developments in the CVA risk framework at international level.