European Central Bank Banking Supervision has published version 2.0 of its Guide on materiality assessment for extensions and changes to the internal model method, narrowing the document to IMM only by deleting all sections and references on advanced credit valuation adjustment. The change reflects that advanced credit valuation adjustment was replaced by the standardized approach for credit valuation adjustment from 1 January 2025, with the Capital Requirements Regulation assigning the European Banking Authority responsibility for developing regulatory technical standards on materiality for SA-CVA changes and extensions. The revised guide continues to set out the ECB’s non-binding supervisory approach for significant institutions assessing IMM model extensions and changes for counterparty credit risk. Institutions must classify changes either as cases that need ECB investigation or as other changes that are notified to the ECB. Investigation is required for specified IMM extensions and significant methodological changes, and also where the impact on overall CCR risk-weighted exposure amounts reaches an absolute change of 1% on the first business day of testing and 5% over the observation period. Extensions under investigation are always treated as material, and changes that reduce overall RWA by at least 1% are also always classified as material. Changes outside that category are treated as not material, with some subject to ex ante notification at least two weeks before implementation and all remaining changes notified ex post at least annually.
European Central Bank - Banking Supervision2026-06-26
European Central Bank Banking Supervision updates IMM materiality guide and removes A-CVA references after SA-CVA replacement
European Central Bank Banking Supervision has revised its materiality guide for internal model method changes so that it now covers IMM only, removing all advanced credit valuation adjustment content. The update reflects the replacement of A-CVA by SA-CVA from 1 January 2025 and leaves SA-CVA materiality standards to future European Banking Authority rules. The guide continues to set the ECB’s supervisory criteria for when IMM extensions and changes need investigation, approval or notification.