EBA欧洲银行-Instructions-for-CVA-data-collection-exercise_38页_1010kb

EBA CVA Data Collection Exercise Summary

1. Introduction

The European Banking Authority (EBA) is tasked with producing a CVA report and conducting a review on the application of CVA charges to non-financial counterparties (NFCs) established in third countries, under the Capital Requirements Regulation (CRR) Article 456(2) and Article 382(5). The report will assess the treatment of CVA risk as a stand-alone charge versus an integrated component of the market risk framework, the scope of the CVA risk charge including exemptions, eligible hedges, and the calculation of capital requirements for CVA risk. Based on the findings, the European Commission may adopt a delegated act to amend relevant CRR articles. The data collected will be strictly confidential.

2. General Information

2.1 Scope of the Exercise

• The data collection exercise is voluntary.
• Banks with substantial OTC derivatives portfolios are expected to participate.
• Data should be reported on a consolidated basis unless the consolidated group is outside Europe.

2.2 Reporting Date

• All data should be reported as of 31 March 2014, unless otherwise noted.

2.3 Filling in the Data

• Banks should complete the data on a best efforts basis.
• If unable to answer a question, the cell should be left empty.
• If the answer is 0, it should be explicitly filled in.
• Answers must be provided in dedicated yellow cells.
• Percentages should be entered as decimals.
• Banks may refer to the EBA Single Rulebook Q&A for guidance on interpreting CRR level 1 text.

2.4 General Assumptions

• Unilateral CVA follows the definition in CRR Article 381.
• Bilateral CVA involves the calculation and application of both CVA and DVA components.
• Exchange-traded derivatives are excluded from the scope of CVA risk requirements.
• Eligible hedges are not subject to CVA risk charge.
• The terms "Own funds requirements for CVA risks" and "CVA risk charge" are used interchangeably.
• For recalculations, the CVA VaR and Stressed VaR are assumed to be flat over January, February, and March 2014.

2.5 Process

• Institutions submit completed templates to their National Supervisory Authority (NSA).
• NSAs forward the templates to the EBA.
• Institutions can submit questions about the templates or instructions via email to CVA-report@eba.europa.eu.
• A Q&A document will be maintained on the EBA website.
• Any deviation from the instructions should be documented in an additional file.

2.6 Timeline

• 30 April 2014: Templates published on the EBA website.
• 16 May 2014: Instructions and revised templates published.
• 31 July 2014: Deadline for banks to submit templates to NSA.
• 1 August 2014: Deadline for NSA to submit templates to EBA.
• First week of August 2014: EBA performs data quality checks.
• 8 August 2014: EBA circulates questions to NSAs, which forward them to the concerned banks.
• 29 August 2014: Deadline for banks to resubmit templates.
• First week of September 2014: EBA analysis team prepares material for the SGMR meeting.
• End of September 2014: Presentation of the outcomes to participating banks.
• September–December 2014: Finalisation of data analysis and CVA Report recommendations.
• December 2014: Submission of the CVA Report to the European Commission and publication on the EBA website.

3. Template A – General Information

3.1 Panel A.1 – Bank Description

• Bank name: Legal entity or group head.
• Reporting currency: Three-character ISO code (e.g., EUR, GBP).
• Solo or Group Basis: Consolidated basis unless the group is outside Europe.
• Reporting Unit: Units, thousands, or millions.
• Accounting standards applied: e.g., IFRS, national GAAP.
• Permission to use Internal Model Method (IMM): Indicate if granted as of 31 March 2014.
• Permission to use internal model for specific debt instrument risk: Indicate if granted as of 31 March 2014.

3.2 Panel A.2 – Current and Future Applications for New Model Permissions

• Indicate if the bank has applied or plans to apply for IMM permission in 2014.
• If yes, specify the main motivation from a drop-down menu.
• If "Other" is selected, describe the motivation in max. 50 words.
• Repeat the same for the internal model permission for specific debt instrument risk.

3.3 Panel A.3 – Internal CVA and DVA Practices

• Indicate if CVA and DVA are computed for pricing and risk management.
• If yes, provide the number of transactions and counterparties subject to the calculation.
• Describe the main modelling assumptions (max 100 words).
• Indicate whether historical default probabilities are used.
• If yes, specify the counterparties for which they are used.
• For those counterparties, explain the method used to compute credit spreads for the advanced CVA charge.

3.4 Panel A.4 – Inconsistencies between the Accounting and Prudential CVA Frameworks

• Provide a synthetic description of counterparties and transactions (e.g., sector, credit quality, etc.).
• Indicate the number of transactions and counterparties.
• Categorise transactions and counterparties based on whether they are subject to the CVA charge or not.

3.5 Panel A.5 – Multiplier in the CVA VaR (Advanced Approach Only)

• Indicate if a multiplier higher than three has been applied to the CVA charge (VaR + stressed VaR).
• If yes, provide the reasons (max. 100 words).
• Provide the multiplier for the VaR component and the multiplier for the Stressed VaR component if applicable.

3.6 Panel A.6 – Historical Period Used for the CVA Charge (Advanced Approach Only)

• Provide the start and end dates for the historical period used in the stressed calibration of the Stressed VaR component for CVA risks.
• Provide the start and end dates for the stressed calibration of the Stressed VaR component for market risks.
• Provide the start and end dates for the historical period used in the stressed calibration of the IMM exposure measures.

3.7 Panel A.7 – Formula Used for the Advanced Approach (Advanced Approach Only)

• Indicate which of the four proposed formulae is used for the advanced approach, as per CRR Article 383(2).

4. Template B – General Data

4.1 Panel B.1 – Breakdown of CVA Charge

• Provide CVA used for pricing and risk management (gross of hedges).
• Provide CS01 of CVA used for pricing and risk management (gross of hedges).
• Provide CS01 of CVA used for pricing and risk management (net of hedges).

5. Template C – EU Exemptions

5.1 Panel C.1 – Breakdown of OTC Derivatives and SFTs per Counterparty Type

• Provide a breakdown of OTC derivatives and Securities Financing Transactions (SFTs) by counterparty type.

5.2 Panel C.2 – Impacts of Exemptions from the CVA Charge

• Describe the impacts of exemptions on CVA risk charge calculations.

6. Template D – Eligible Hedges

6.1 Panel D.1 – Non-Eligible Hedges for Credit Spread Risk of CVA

• List non-eligible hedges for the credit spread risk of CVA.

6.2 Panel D.2 – Non-Eligible Hedges for Other Risks Than Credit Spread Risk of CVA

• List non-eligible hedges for other CVA risks.

6.3 Panel D.3 – Recognition of CVA Hedges for Accounting Purposes

• Describe how CVA hedges are recognized for accounting purposes.

6.4 Panel D.4 – CVA Hedges for Non-Credit Spread Risks

• Describe CVA hedges for non-credit spread risks.

6.5 Panel D.5 – Eligible Hedges of Exempted Counterparties

• Describe eligible hedges for counterparties that are exempted from the CVA charge.

6.6 Panel D.6 – Recognition of Index CDS Hedges (Advanced Approach Only)

• Describe how index CDS hedges are recognized for accounting purposes.

6.7 Panel D.7 – Provider of Eligible Hedges

• Indicate the provider of eligible hedges.

6.8 Panel D.8 – CVA Risk Charge for Eligible Hedges

• Provide the CVA risk charge for eligible hedges.

7. Template E – RTS on CVA

7.1 Panel E.1 – Criteria for the Inclusion of Small Portfolios in the Advanced CVA Charge (Advanced Approach Only)

• Describe the criteria for including small portfolios in the advanced CVA charge.

7.2 Panel E.2 – Impacts of Small Portfolios in the Advanced CVA Charge (Advanced Approach Only)

• Describe the impacts of small portfolios on the advanced CVA charge.

7.3 Panel E.3 – Description of Proxy Spread Methodology (Advanced Approach Only)

• Describe the proxy spread methodology used for CVA calculations.

7.4 Panel E.4 – Use of Proxy Spread Methodology (Advanced Approach Only)

• Indicate the use of proxy spread methodology for CVA calculations.

7.5 Panel E.5 – Test of Proxy Spread Methodology (Advanced Approach Only)

• Describe the test of the proxy spread methodology.

8. Template F – Integrated Calculation

8.1 Panel F.1 – Internal VaR on CVA (Advanced Approach Only)

• Provide the internal VaR on CVA.

8.2 Panel F.2 – Treatment of Incurred CVA (IRB Permission Only)

• Describe the treatment of incurred CVA.

8.3 Panel F.3 – Internal Model of Unilateral CVA to Estimate M (IRB Permission Only)

• Provide the internal model of unilateral CVA to estimate M.

8.4 Panel F.4 – M=1 (Advanced and IRB Permission Only)

• Indicate whether M=1 is applied.