General Information & Client Service
  • Americas: +1.212.553.1653
  • Asia: +852.3551.3077
  • China: +86.10.6319.6580
  • EMEA: +44.20.7772.5454
  • Japan: +81.3.5408.4100
Media Relations
  • New York: +1.212.553.0376
  • London: +44.20.7772.5456
  • Hong Kong: +852.3758.1350
  • Tokyo: +813.5408.4110
  • Sydney: +61.2.9270.8141
  • Mexico City: +001.888.779.5833
  • Buenos Aires: +0800.666.3506
  • São Paulo: +0800.891.2518
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

Related Insights

EBA Finalizes Guidelines on the STS Criteria in Securitization

EBA published the final guidelines that provide a harmonized interpretation of the criteria for a securitization to be eligible as simple, transparent, and standardized (STS) on a cross-sectoral basis throughout EU.

December 12, 2018 WebPage Regulatory News

OSFI Sets Domestic Stability Buffer for D-SIBs at 1.75%

OSFI set the level for the Domestic Stability Buffer at 1.75% of total risk-weighted assets, as calculated under the Capital Adequacy Requirements (CAR) Guideline.

December 12, 2018 WebPage Regulatory News

FSI Publishes Paper on Proportionality in Insurance Solvency Rules

FSI published a paper on proportionality in the application of insurance solvency requirements.

December 11, 2018 WebPage Regulatory News

BCBS Updates Framework for Pillar 3 Disclosure Requirements

BCBS published the updated framework for Pillar 3 disclosure requirements.

December 11, 2018 WebPage Regulatory News

EBA Issues Revised List of Validation Rules for Reporting

EBA revised the list of validation rules in its implementing technical standards on supervisory reporting.

December 11, 2018 WebPage Regulatory News

IMF Reports Assess the Stability of Financial System in Brazil

IMF published a report on the results of the Financial System Stability Assessment (FSSA) on Brazil.

December 11, 2018 WebPage Regulatory News

FED Governor Examines Pros of Imposing Capital Buffers on Large Banks

At the Peterson Institute for International Economics in Washington D.C., the FED Governor Lael Brainard summarized the financial stability outlook, highlighted areas where financial imbalances seem to be building, and touched on the related policy implications.

December 07, 2018 WebPage Regulatory News

US Agencies Propose Rule on Appraisals for Real Estate Transactions

US Agencies (FDIC, FED, and OCC) proposed a rule to increase the threshold level at or below which appraisals would not be required for the residential real estate transactions from USD 250,000 to USD 400,000. Comments will be accepted for 60 days from publication in the Federal Register.

December 07, 2018 WebPage Regulatory News

EBA Single Rulebook Q&A: First Update for December 2018

This week one answer was published as part of the Single Rulebook Questions and Answers (Q&A).

December 07, 2018 WebPage Regulatory News

FED Updates Reporting Form and Instructions for FR Y-14Q

FED published the updated reporting form FR Y-14Q for Capital Assessment and Stress Testing, along with the associated instructions.

December 06, 2018 WebPage Regulatory News
RESULTS 1 - 10 OF 2325