Response to consultation on Guidelines on the treatment of CVA risk under SREP

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Question 1: Do you agree with determining relevance of CVA risk by means of assessing the size of an institution’s derivative business using the exposure value for non-QCCP cleared derivatives transactions?

Please refer to the attached EBF response

Question 2: What are your views on how Threshold 1 should be calibrated?

Please refer to the attached EBF response

Question 3: Do you agree with determining relevance of CVA risk by means of assessing the share of own funds requirements for CVA risk to the total risk exposure amount?

Please refer to the attached EBF response

Question 4: Do you agree with the approach provided for the determination of materiality of CVA risk?

Please refer to the attached EBF response

Question 5: What are your views on how ‘x%’ (Thresholds 2 and 3) should be calibrated?

Please refer to the attached EBF response

Question 6: Do you agree with the scope of derivative transactions to be included into the calculation of hypothetical own funds requirements for CVA risk?

Please refer to the attached EBF response

Question 7: Do you agree that intra-group derivatives transactions should be explicitly included into the scope of calculation? If not, what do you think could be a credible alternative treatment of the CVA risk of intragroup transactions?

Please refer to the attached EBF response

Question 8: Do you agree with the approach provided for the determination of supervisory benchmark for material CVA risk?

Please refer to the attached EBF response

Question 9: What are your views on how ‘y%’ (Threshold 4) should be calibrated?

Please refer to the attached EBF response

Question 10: Do you agree with the approach provided monitoring of CVA risk by competent authorities and EBA and data to be provided to competent authorities for this monitoring?

Please refer to the attached EBF response

Question 11: What is your view regarding the potential burden of computing hypothetical own funds requirement for CVA risk at the same frequency as the regulatory CVA VaR and Stressed VaR figures?

Please refer to the attached EBF response

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Name of organisation

European Banking Federation