However, monitoring work continues with the EBAs 2016 credit valuation adjustment (CVA) risk monitoring exercise. The 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.
Due to continued developments in the CVA risk framework at international level, the EBA has put on hold the work on its draft Guidelines on the treatment of CVA risk under SREP until further notice. Instead, the 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 (2014). The EBA will closely follow international (BCBS) 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. Relevant institutions will be requested to provide the data required in the accompanying template by 14 September 2017. In order to help institutions fill in the template, instructions are also available on the website.
Press release
Report on 2015 CVA risk monitoring exercise
Instructions - 2016 CVA risk monitoring exercise
Template - 2016 CVA risk monitoring exercise
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