On 4 May 2018, the European Banking Authority (EBA) published the results of its 2016 credit valuation adjustment (CVA) risk monitoring exercise. The monitoring exercise was launched on 21 June 2017 to monitor the impact of transactions exempted for the purpose of calculating the CVA risk charge under the Capital Requirements Regulation. With caveats regarding data quality, results show that the median bank would see its current CVA risk charge multiplied by 3.06 when reintegrating exempted transactions. In terms of CET1 ratio, the results show that the full capitalisation of CVA risk would lead to impacts greater than 200 basis points, compared with initial CET1 ratio levels, for 7 institutions.

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