EBA欧洲银行-Instructions-2016-CVA-risk-monitoring-exercise_12页_305kb

2016 CVA Risk Monitoring Exercise Instructions Summary

Core Content

The European Banking Authority (EBA) initiated the 2016 CVA Risk Monitoring Exercise to assess the impact of transactions exempted from the CVA risk charge under the Capital Requirements Regulation (CRR). This exercise aims to monitor how these exemptions affect CVA risk and to support the development of a coordinated approach for future supervisory reviews.

The EBA published its CVA Report on 25 February 2015, which identified the materiality of CVA risks not covered by EU legislation and recommended revisiting exemptions. In November 2015, the EBA consulted on guidelines for CVA risk treatment under SREP and launched a data collection exercise based on 2015 data. The 2015 exercise involved 171 EU banks across 28 EU and 1 EEA member states.

Due to ongoing international developments, the EBA has paused the drafting of CVA risk guidelines under SREP and is now focusing on monitoring the impact of exemptions and assessing revised international standards. The data collected in this exercise will be used by competent authorities to evaluate CVA risk in line with the 2014 EBA guidelines on SREP methodologies.

Main Points

• Purpose: Monitor the impact of transactions exempted from the CVA risk charge, in line with policy recommendation No.4 from the CVA Report.
• Scope: The exercise includes all EU institutions that submit COREP data, with a focus on derivative transactions.
• Reporting Date: All data must be reported as of 31 December 2016.
• Confidentiality: The data collected is treated as strictly confidential.
• Data Submission: Institutions must fill in the data in dedicated yellow cells of the template and avoid entering "NA" or text in empty cells.
• Exemptions: Transactions with pension funds, sovereign entities, and intragroup transactions (under certain conditions) are excluded from the CVA risk charge.
• Methodology:
  • CVA VaR and Stressed VaR should be assumed flat for October, November, and December 2016, based on the values as of 31 December 2016.
  • The hypothetical CVA risk charge should be calculated using the Advanced method, with the values multiplied by 12.5 to convert to RWA.
  • Intragroup transactions are treated as unhedged for the purpose of hypothetical impact calculations, even if they are hedged under standard methodologies.

Key Information

• Template Structure:

  • Panel 1 includes basic bank information (e.g., bank name, LEI code, reporting currency).
  • Panel 2 covers current data under CRR, including CET1, Pillar 1 own funds requirements, and CVA risk requirements (including and excluding SFTs).
  • Panel 3 focuses on hypothetical capital requirements for derivative transactions, with breakdowns by transaction type and counterparty category.

• Transaction Categories:

  • All derivative transactions: Includes transactions with NFCs, intragroup transactions, pension funds, and sovereign counterparties.
  • OTC derivative transactions: Subset of all derivative transactions.
  • Non-QCCP cleared derivative transactions (Basel scope): Excludes QCCP cleared transactions and includes only those that would be subject to the advanced method if within the CVA risk charge.
  • Non-QCCP cleared derivative transactions (CRR scope): Excludes QCCP cleared transactions and includes transactions with pension funds and sovereign counterparties.

• Hypothetical Scenarios:

  • Row 31: Intragroup transactions between entities in the EU or third countries with implementing acts remain exempt.
  • Row 32: Intragroup transactions between entities under the same competent authority (SSM or non-SSM) remain exempt.
  • Row 33: Intragroup transactions between entities in the same Member State remain exempt.
  • Each scenario requires the marginal impact of reintegrating intragroup transactions, expressed as a percentage of the impact in row 30.

• Timeline:

  • June 2017: Template and instructions published.
  • 14 September 2017: Deadline for transmission of templates to competent authorities.
  • 22 September 2017: Deadline for transmission of templates to the EBA.
  • Week of 25 September 2017: EBA performs data quality checks.
  • 13 October 2017: Deadline for resubmission if required.
  • 20 October 2017: Deadline for final transmission to the EBA.
  • Week of 23 October 2017: EBA performs data analysis and prepares reports.

• Contact: Institutions may submit questions or queries regarding the template or instructions to CVA-QIS@eba.europa.eu.

Summary of Assumptions

• CVA Definition: Follows the definition in CRR Article 381.
• Excluded Transactions: SFTs are excluded from impact figures, but included in Panel 2 for information.
• Calculation Method: Hypothetical CVA risk charge is calculated as the sum of:
  • CVA VaR × multiplier for CVA VaR
  • CVA Stressed VaR × multiplier for CVA Stressed VaR
• Impact Calculation: Hypothetical impact is calculated as a percentage of the figures in row 30.
• Intragroup Transactions: Treated as unhedged, even if hedged in practice.

Conclusion

This exercise is part of the EBA’s ongoing efforts to monitor and understand the impact of CVA risk exemptions and to align with evolving international standards. It provides a structured template for banks to report on their current and hypothetical CVA risk requirements, supporting a more consistent and informed supervisory approach.