[author: Rebecca Grevitt]
On December 14, 2017, the European Central Bank (“ECB“) published its first consultation on the draft ECB guide on the assessment methodology (EGAM) for the internal model method (“IMM“) and the advanced credit valuation adjustment risk (“A-CVA“) charge for counterparty credit risk (“CCR“).
The guide relates to the supervisory assessment methodology used by banks to calculate capital requirements for CCR under the Capital Requirements Regulation (Regulation 575/2013) (“CRR“).
The ECB developed the guide, as there is no mandate in the CRR for the EBA to produce regulatory technical standards (RTS) for the assessment methodology for the IMM and the A‑CVA models.
The guide is intended to clarify the methodologies that the ECB uses to assess CCR model components within model investigations when determining if institutions meet those requirements.
The deadline for responses is March 31, 2018. The ECB intends to finalize the guide following another call for feedback in 2018.
The draft guide is available here.
