EACT Response to the European Bank Authority’s Consultation on the Treatment of CVA under SREP

The EACT has responded to the European Banking Authority’s consultation on the treatment of CVA risk under the supervisory review and evaluation process (SREP). In our response we highlight that the EBA’s mandate for issuing the proposed guidelines is questionable and that applying the guidelines would partially eliminate the exemption from CVA risk charge from which non-financial counterparties are benefitting under CRR.

The EACT has responded to the European Banking Authority’s consultation on the treatment of CVA risk under the supervisory review and evaluation process (SREP). In our response we highlight that the EBA’s mandate for issuing the proposed guidelines is questionable and that applying the guidelines would partially eliminate the exemption from CVA risk charge from which non-financial counterparties are benefitting under CRR.

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