2017年-EBA欧洲银行管理局_Report_on_2015_CVA_risk_monitoring_exercise_22页_785kb

EBA 2015 CVA RISK MONITORING EXERCISE SUMMARY

Executive Summary

The European Banking Authority (EBA) conducted a CVA risk monitoring exercise in 2015 to assess the impact of reintegrating derivative transactions currently exempted under EU regulations into the CVA risk charge framework. This exercise was based on data collected from 171 EU banks across 28 Member States and one EEA country. The main goal was to monitor the own funds requirements for CVA risk and to evaluate the potential implications of removing these exemptions.

The EBA report highlighted that the current CVA risk charge does not account for certain transactions, leading to an underestimation of CVA risk. It recommended reconsidering EU exemptions and aligning with international standards. The exercise considered two scenarios: one excluding intragroup transactions and one including them, and evaluated the impact on CVA risk charge, CET1 ratio, and capital requirements.

1. General

1.1 Participation

• 171 EU banks participated in the exercise.
• These banks represent 28 EU Member States and 1 EEA member country.
• Banks included in the EBA list of institutions that submit COREP data were required to participate.
• Data quality was improved through a two-stage submission process, with banks that had issues resubmitting their data.

1.2 Requested Data

• Banks were asked to provide data as of 30 September 2015 or 31 December 2015.

• The data included:

  • Total exposure value for derivative transactions (excluding transactions with a qualifying CCP), expressed in EAD.
  • Current CVA risk charge, expressed in RWA.
  • Hypothetical CVA risk charge, calculated if exempted transactions were reintegrated.

• Various hypothetical scenarios were tested, including the removal of all exemptions (excluding or including intragroup transactions) and the implementation of EBA policy recommendations.

1.3 Main Assumptions

• All values were converted to euros.
• Only banks using the advanced method for CVA risk were considered for the impact of Policy Recommendations No 7 and No 8.
• Hypothetical CVA figures were considered only if they exceeded current CVA figures.
• Intragroup transactions were only included if they resulted in a higher CVA risk than excluding them.
• CET1 ratio impact figures were based on COREP data provided by competent authorities.

2. Materiality of CVA Risk

2.1 Total Derivative Exposure Value

• 71% of the banks in the sample have a derivative exposure value exceeding EUR 150 million.
• The exposure values range from EUR 145,762 to EUR 114,474,076,515.

2.2 Current CVA Risk

• The materiality of CVA risk was assessed using the Current X ratio, defined as the current CVA risk charge divided by the current total Pillar 1 own funds requirements.
• For more than half of the sample, Current X is below 1%, but for 12% of the banks, it exceeds 4%.
• The median Current X is 0.74%, with a maximum of 30.77%.

3. Impact Figures Excluding Intragroup Transactions

3.1 Impact on CVA Risk Charge

• If exempted transactions are reintegrated, the median bank's CVA risk charge would increase by 2.77 times.
• One bank reported an extreme increase of 1,394.17 times, reflecting a large portfolio of exempted transactions.
• Policy Recommendations No 7 and No 8, when implemented, slightly reduce the impact compared to when they are not.

3.2 Impact on CVA Risk to Total Pillar 1 Ratio

• Hypothetical X, which reflects the CVA risk contribution to the total Pillar 1 OFR, increased significantly for the sample.
• The median Hypothetical X is 2.67% when Policy Recommendations are not implemented, compared to 1.87% in the current scenario.

3.3 Impact on Capital

• Capital add-ons were calculated for different levels of Y% (proportion of hypothetical CVA risk materialised).
• At 50% Y%, 76 banks would need an average capital add-on of EUR 118 million, with the total capital need across the sample being almost EUR 9 billion.
• At 70% Y%, 97 banks would be impacted, with the median bank needing almost EUR 35 million in additional capital.

3.4 Impact on CET1 Ratio

• For 4 banks, the full capitalisation of hypothetical CVA risk would decrease the CET1 ratio by more than 200 basis points.
• The impact is more severe for banks with lower initial CET1 ratios.
• Some banks with higher initial CET1 ratios (above 20%) could absorb the shock without significant issues.

4. Impact Figures Including Intragroup Transactions

4.1 Impact on CVA Risk Charge

• Including intragroup transactions, the median bank's CVA risk charge would increase by almost 4 times.
• For banks using the advanced method, the impact would be 2.68 times if Policy Recommendations are implemented, and 3.097 times if not.

4.2 Impact on CVA Risk to Total Pillar 1 Ratio

• Hypothetical X including intragroup transactions increased further compared to the scenario without intragroup transactions.
• The median Hypothetical X is 4.11% when Policy Recommendations are not implemented.

4.3 Impact on Capital

• At 50% Y%, 48 banks would need an average capital add-on of EUR 138 million, with the total capital need across the sample being almost EUR 6.6 billion.
• The impact is more pronounced when intragroup transactions are included, but data quality concerns remain.

4.4 Impact on CET1 Ratio

• The CET1 ratio decrease for some banks is more severe when intragroup transactions are included.
• For two banks, the CET1 ratio would decrease by around 400 bp and 300 bp respectively, compared to initial levels above 20%.
• Due to data quality issues, the results should be treated with caution.

Conclusion

• The reintegration of exempted transactions into the CVA risk charge significantly increases the CVA risk charge and capital requirements for many banks.
• The impact on CET1 ratios is more pronounced when intragroup transactions are included.
• The EBA will continue to monitor the implications of exempted transactions and will align with international standards as they evolve.