Europejski Urząd Nadzoru Bankowego, Raport z wzajemnej oceny dotyczący wyłączania transakcji z kontrahentami niefinansowymi mającymi siedzibę w państwie trzecim z ryzyka korekty wyceny kredytowej (CVA)

30 MAY 2023

EBA/REP/2023/15

PEER REVIEW REPORT EXCLUDING TRANSACTIONS WITH NON-FINANCIAL COUNTERPARTIES ESTABLISHED IN A THIRD COUNTRY FROM CREDIT VALUATION ADJUSTMENT RISK

Executive summary

The financial crisis 2007-2008 revealed that CVA risk was a source of unexpected losses. Robust CVA risk mitigates against losses and helps to ensure the soundness of an institution, thus it is important to ensure the harmonised implementation of the requirements in this area. This peer review analyses the effectiveness of the supervisory practices of Competent Authorities (CAs) regarding their assessment of credit valuation adjustment (CVA) risk of the institutions under their supervision with a view to strengthening consistency and effectiveness of supervision in this area.

In particular, the peer review focuses on the transactions exempted from own funds requirements for CVA risk specified in Article 382(4) of the CRR, and more specifically, on the practices employed by CAs regarding their...