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June 21, 2017

EBA launched its 2016 credit valuation adjustment (CVA) risk monitoring exercise and published a short report presenting the main results of the 2015 CVA risk monitoring exercise. The 2016 CVA monitoring will be based on data with reference date of December 31, 2016. EBA also announced that it has put on hold draft guidelines on the treatment of CVA risk under supervisory review and evaluation process (SREP) until further notice, due to continued developments in the CVA risk framework at the international level.

EBA will focus on monitoring the impact of transactions exempted from the CVA risk charge and assessing the impact of the revised international standards on CVA risk, in particular on the scope of exempted transactions, once the standards are made public. Competent authorities will use the outcome of the EBA monitoring in their assessments of institutions' CVA risk performed in accordance with the EBA Guidelines on common procedures and methodologies for SREP. EBA will closely follow international (Basel Committee) developments and, if needed, will review whether further guidance is needed to achieve greater consistency in appropriate risk-based supervisory measures. 

Similar to the previous exercise, institutions included in the EBA list of institutions, for which the EBA is receiving COREP submissions, will be required by their competent authority to participate in the exercise on a compulsory basis. EBA expects institutions to complete the exercise by September 14, 2017. To help institutions fill in the template, instructions are also available on the website. Last year's exercise involved 171 EU banks representing 28 EU and 1 European economic area member states. The 2016 CVA risk monitoring exercise is the latest data collection exercise to be performed on CVA risk. The first exercise was launched as part of the CVA Report and a second exercise was performed simultaneously to the consultation on the Guidelines on the treatment of CVA risk under SREP. The monitoring exercise fits into the EBA mandate to monitor the own funds requirements for CVA risk and follows on from policy recommendation No. 4 of the CVA Report.

 

Related Links

Instructions: 2016 CVA Risk Monitoring Exercise (PDF)

Template: 2016 CVA Risk Monitoring Exercise (XLSX)

Report on 2015 CVA Risk Monitoring Exercise (PDF)

Guidelines on Common Procedures and Methodologies for SREP

CVA Report (PDF)

Keywords: Europe, EBA, Banking, CVA, SREP, Risk Monitoring

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