ECB consults on the draft guide on materiality assessment (EGMA)

December 16, 2016

The European Central Bank (ECB) is seeking feedback on the draft guide to materiality assessment for changes to counterparty credit risk models. The guide explains the criteria applied by the ECB for approving changes and extensions to internal models which banks use to calculate the counterparty credit risk and credit valuation adjustment risk of a business partner.

Feedback should be sent using this template to the following email address SSMPublicConsultation@ecb.europa.eu and must be received by midnight CET on 14 February 2017.

The consultation paper and related material can be found on the ECB website here.