2018年-EBA欧洲银行管理局_Report_on_2016_CVA_risk_monitoring_exercise_24页_1022kb

EBA 2016 CVA RISK MONITORING EXERCISE SUMMARY

Executive Summary

• The European Banking Authority (EBA) conducted a 2016 CVA risk monitoring exercise to assess the impact of transactions exempted from the CVA risk charge under the Capital Requirements Regulation (CRR).
• The exercise was initiated on 21 June 2017, in line with policy recommendation No 4 from the 2015 CVA Report.
• Data was collected from 169 EU banks across 27 Member States, representing the majority of reporting institutions.
• The median bank would see its current CVA risk charge multiplied by 3.06 when reintegrating exempted transactions.
• For the CET1 ratio, 7 institutions would experience a decrease of more than 200 basis points if all hypothetical CVA risk were capitalised.
• The EBA continues to monitor the impact of CVA risk exemptions and plans to extend its analysis in the context of future Basel III reforms.

1. General

1.1 Participation

• 169 EU institutions from 27 Member States participated in the 2016 CVA risk monitoring exercise.
• Participation was required for institutions that submit COREP data to the EBA.
• Figure 1 shows the distribution of participating institutions by country.

1.2 Requested Data

• Banks were asked to provide data as of 31 December 2016, converted into euros.
• The data included:
  • Current CET1 capital and total Pillar 1 own funds requirements (OFR) for CVA risk.
  • Hypothetical CVA risk charge, based on the reintegration of exempted transactions.
• The hypothetical CVA calculation excludes clients' transactions under Article 382(3) CRR and intragroup transactions in this section.
• The EBA noted that data quality improved significantly after a second submission, though some institutions still had issues.

2. Materiality of CVA Risk

2.1 Total Exposure Value of Derivative Transactions

• The total exposure value of derivatives corresponds to the counterparty credit risk exposure value (CCR EAD) for all derivatives not cleared with a Qualifying Central Counterparty (QCCP).
• 73% of the sample banks have a portfolio of derivatives generating an exposure value (EAD) greater than EUR 150 million.
• The quartiles of the distribution are shown in Figure 3, with the 50th percentile at EUR 665.8 million and the maximum at EUR 96.46 billion.

2.2 Current CVA Risk

• Current X is defined as the ratio of current CVA risk charge to current total Pillar 1 OFR.
• For more than half of the institutions, Current X is below 1%, while 10% of the banks have Current X above 4%, despite the CVA risk charge not reflecting exempted transactions.
• The quartiles of the distribution are shown in Figure 5, with the 50th percentile at 0.70% and the maximum at 39.79%.

3. Impact Figures Excluding Intragroup Transactions

3.1 Impact on CVA Risk Charge

• The impact of hypothetical CVA risk charge on current CVA risk charge is expressed as:
  $$
  CVA \text{ impact} = \frac{\text{Hypothetical CVA risk}}{\text{Current CVA risk}}
  $$
• The median bank would see its current CVA risk charge multiplied by 2.68 when exempted transactions are reintegrated.
• For banks using the advanced method, the median bank's CVA risk charge would be multiplied by 3.76.

3.2 Impact on Ratio of CVA Risk to Total Pillar 1

• Hypothetical X is defined as the ratio of hypothetical CVA risk charge to hypothetical total Pillar 1 OFR.
• The median bank has a Hypothetical X of 2.63% when exempted transactions are reintegrated.
• For institutions using the advanced method, the median bank has a Hypothetical X of 5.46%.

3.3 Impact on Capital

• The EBA tested various scenarios of capitalisation (y%) of hypothetical CVA risk to assess potential undercapitalisation.
• If 50% of hypothetical CVA risk were capitalised, the average undercapitalisation for CVA risk would be EUR 120 million for 84 institutions.
• The median bank would be undercapitalised by approximately EUR 30 million.
• The total level of undercapitalisation across the sample is approximately EUR 10 billion.

3.4 Impact on CET1 Ratio

• For the 30 most affected banks, capitalising 100% of hypothetical CVA risk (excluding intragroup) could decrease the CET1 ratio by more than 200 basis points for 6 institutions.

4. Impact Figures Including Intragroup Transactions

4.1 Impact on CVA Risk Charge

• The median bank would see its current CVA risk charge multiplied by 3.06 when including intragroup transactions.
• For banks using the advanced method, the median bank's CVA risk charge would be multiplied by 4.05.

4.2 Impact on Ratio of CVA Risk to Total Pillar 1

• The median bank has a Hypothetical X of 2.77% when including intragroup transactions.
• For institutions using the advanced method, the median bank has a Hypothetical X of 5.17%.

4.3 Impact on Capital

• The EBA tested the same scenarios (y%) of capitalisation of hypothetical CVA risk.
• If 50% of hypothetical CVA risk were capitalised, the average undercapitalisation for CVA risk would be EUR 132 million for 88 institutions.
• The total level of undercapitalisation across the sample is approximately EUR 11 billion.

4.4 Impact on CET1 Ratio

• For the 30 most affected banks, capitalising 100% of hypothetical CVA risk (including intragroup) could decrease the CET1 ratio by more than 200 basis points for 6 institutions.

Key Findings

• The EBA continues to monitor the impact of CVA risk exemptions, especially in the context of future Basel III reforms.
• The median bank's CVA risk charge increases significantly when exempted transactions are reintegrated.
• The CET1 ratio is notably affected for a small number of institutions.
• The EBA highlights the importance of improving data quality for accurate analysis.