meta_id 3273679

On June 26, 2026, the European Central Bank (ECB) released version 2.0 of its Guide on Assessment Methodology (EGAM) for the internal model method (IMM) for calculating exposure to counterparty credit risk (CCR). This update supersedes the initial guidance published on September 18, 2020, and reflects regulatory changes that took effect January 1, 2025. The primary driver for this revision is the substitution of the advanced method for own funds requirements for credit valuation adjustment risk (A-CVA) with the standardised approach for credit valuation adjustment risk (SA-CVA). With effect from January 1, 2025, Article 383a(5)(b) of the Capital Requirements Regulation (CRR) mandates the European Banking Authority (EBA) to develop regulatory technical standards specifying the assessment methodology under which competent authorities verify institutions' compliance with Articles 383 and 383a of the CRR. The EGAM provides the ECB's interpretation of methods and techniques for assessing compliance with CRR provisions governing IMM usage. It applies to all CCR-related internal model investigations before or after approval and ongoing monitoring of approved internal models. The guide covers ten substantive chapters addressing general provisions, sequential and partial implementation, model validation governance, internal governance and risk control, use testing, documentation and design, exposure quantification, validation methodologies, stress testing, and data maintenance and IT processes. The EGAM is intended for application in its entirety by supervisors conducting model assessments. For targeted investigations such as model changes or extensions, only relevant sections need apply. The guide does not supersede existing EU and national law but provides transparency on ECB assessment methodologies. Institutions may use the EGAM for self-assessment of their IMM models. REFERENCES: European Central Bank. (2026). ECB Guide on assessment methodology (EGAM): Assessment methodology for the internal model method for calculating exposure to counterparty credit risk. https://www.ecb.europa.eu