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?
Non-Applicable
Question 2: What are your views on how Threshold 1 should be calibrated?
Non-Applicable
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?
Non-Applicable
Question 4: Do you agree with the approach provided for the determination of materiality of CVA risk?
Non-Applicable
Question 5: What are your views on how ‘x%’ (Thresholds 2 and 3) should be calibrated?
Non-Applicable
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?
Non-Applicable
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?
Non-Applicable
Question 8: Do you agree with the approach provided for the determination of supervisory benchmark for material CVA risk?
Non-Applicable
Question 9: What are your views on how ‘y%’ (Threshold 4) should be calibrated?
Non-Applicable
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?
Non-Applicable
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?
