EBA publishes follow-up peer review report on CVA risk

The European Banking Authority (EBA) has published a follow-up peer review report examining the supervisory practices of EU competent authorities regarding their assessment of credit valuation adjustment (CVA) risk of the institutions under their supervision. The same four EU competent authorities which were part of the EBA's 2023 peer review were also part of this follow up review. The EBA found that competent authorities continue to largely assess CVA risk sufficiently, using approaches which are fit for purpose in satisfying the regulatory and supervisory review and evaluation process guidelines. Furthermore, since the 2023 report, all competent authorities have made progress to strengthen their CVA risk assessments and address the follow-up measures suggested as part of that report. However, only one competent authority was found to have made specific efforts to review compliance with the regulatory technical standards (RTS) in Commission Delegated Regulation (EU) 2018/728 on the procedures for excluding transactions with non-financial counterparties established in a third country from the own funds requirements for CVA risk (Exclusion RTS). The EBA urges continued efforts to ensure robust CVA risk management and compliance with the Exclusion RTS to ensure that this risk is properly managed and capitalised by the institutions under their supervision.

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