Featured Product

    EBA Launched 2016 CVA Risk Monitoring Exercise

    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

    Featured Experts
    Related Articles
    News

    BIS and BoE Launch Innovation Hub in London

    BIS and BoE launched the BIS Innovation Hub Center in London, which is the fourth new Innovation Hub Centre to be opened in the past two years.

    June 11, 2021 WebPage Regulatory News
    News

    ESRB Recommends Reciprocation of Certain Macroprudential Measures

    ESRB published recommendations on the reciprocation of macro-prudential measures in Belgium, France, Luxembourg, Norway, and Sweden.

    June 11, 2021 WebPage Regulatory News
    News

    EC Publishes Regulation on Key Aspects of Implementation of SA-CCR

    EC published the Delegated Regulation 2021/931, which supplements the Capital Requirements Regulation (CRR or Regulation 575/2013) with regard to the regulatory technical standards specifying the method for identifying derivative transactions with one or more than one material risk driver.

    June 10, 2021 WebPage Regulatory News
    News

    BCBS Consults on Prudential Treatment of Cryptoasset Exposures

    BCBS is consulting on preliminary proposals for the prudential treatment of cryptoasset exposures of banks.

    June 10, 2021 WebPage Regulatory News
    News

    EBA Revises List of Validation Rules for Reporting

    EBA issued a revised list of validation rules under the implementing technical standards on supervisory reporting.

    June 10, 2021 WebPage Regulatory News
    News

    Banking Authorities and Private Sector Collaborate on Wholesale CBDC

    BIS Innovation Hub, BDF, and SNB announced that, together with a private-sector consortium led by Accenture, they will conduct an experiment using wholesale central bank digital currency (wCBDC) for cross-border settlement.

    June 10, 2021 WebPage Regulatory News
    News

    ESAs Publish Amended Implementing Standards on Mapping of ECAIs

    ESAs published two amended implementing technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs).

    June 10, 2021 WebPage Regulatory News
    News

    EBA Revises Guidelines on Major Incident Reporting Under PSD2

    EBA published revised guidelines on major incident reporting under the Payment Service Directive (PSD2).

    June 10, 2021 WebPage Regulatory News
    News

    BCBS Updates Supporting Information for G-SIB Assessment in June 2021

    BCBS updated the year-end and annual average exchange rates in context of the global systemically important bank (G-SIB) assessment exercise.

    June 10, 2021 WebPage Regulatory News
    News

    HKMA Revises Implementation Timeline for Basel Standards

    HKMA issued a circular informing the industry about its intention to revise the target effective dates for the revised frameworks on credit risk, operational risk, output floor, leverage ratio, market risk, and credit valuation adjustment risk.

    June 10, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 7083