On 5 February 2020, the European Central Bank (ECB) published a consultation paper on a draft guide on the assessment methodology for the internal model method (IMM) and the advanced method for credit valuation adjustment risk (A-CVA) charge for counterparty credit risk (CCR).
The draft guide indicates how the ECB intends to assess internal models for CCR at directly supervised banks. It also aims to provide guidance to these institutions on their self-assessment of the IMM and A-CVA, drawing on the approaches already defined by the European Banking Authority for other risk types. The draft guide also addresses the supervisory assessment methodology for initial approvals, changes to, and extensions of, internal models used by banks to calculate capital requirements for CCR.
The draft guide is not intended to replace current applicable EU and national law.
The deadline for comments on the consultation paper is 18 March 2020. Following the end of the consultation, the ECB intends to publish a feedback statement alongside the responses received.