EBA Peer Review finds credit valuation adjustment risk is overall supervised sufficiently and recommends some follow-up measures to further strengthen supervision
30 May 2023
- 30 May 2023
The European Banking Authority (EBA) published today its Peer Review on excluding transactions with non-financial counterparties established in a third country from credit valuation adjustment (CVA) risk. - The Review found that the competent authorities targeted in this review assessed CVA risk sufficiently although some elements of such an assessment were missing.
- For that, the EBA has adopted follow-up measures for competent authorities which it will review in two years’ time.
- The peer review has been performed by an ad hoc Peer Review Committee of EBA and competent authorities’ staff in accordance with the EBA peer review work plan for 2022-2023 and following the process in Article 30 of the EBA Regulation and the EBA peer review methodology.