European Banking Authority follow-up peer review finds most supervisors still only largely applying CVA exclusion requirements

The European Banking Authority published a follow-up peer review on how EU competent authorities supervise the exclusion from credit valuation adjustment (CVA) risk for transactions with non-financial counterparties established in a third country. The review finds that competent authorities continue to assess CVA risk largely sufficiently, using different approaches considered fit for purpose against regulatory requirements and the Supervisory Review and Evaluation Process (SREP) Guidelines, and that all assessed authorities have strengthened their assessments since the 2023 peer review. The follow-up review covered the same four competent authorities assessed in 2023. Only one authority made specific efforts to review compliance with the Exclusion Regulatory Technical Standard (RTS), so only one benchmark assessment was upgraded to “fully applied”, while the other three remained “largely applied”.