EBA欧洲银行-Report-on-2016-CVA-risk-monitoring-exercise_24页_1mb

EBA 2016 CVA Risk Monitoring Exercise Summary

Executive Summary

• The EBA conducted a CVA risk monitoring exercise in 2016 to assess the impact of transactions currently exempted from the CVA risk charge under the CRR.
• The exercise was launched in June 2017 and is aligned with the EBA’s 2015 CVA Report, which recommended reconsidering EU exemptions to CVA risk.
• Data was collected from 169 EU banks across 27 Member States, representing a broad sample of institutions.
• The main findings indicate that the reintegration of exempted transactions would significantly increase CVA risk charges, with the median bank seeing an increase of up to 3.06 times.
• For the CET1 ratio, 7 institutions would experience a decrease of more than 200 basis points if all exempted CVA risk were capitalised.
• The EBA welcomes the Basel Committee's revised CVA risk framework and plans to update its monitoring exercise accordingly.

1. General

1.1 Participation

• A total of 169 EU institutions participated in the exercise.
• These institutions represent 27 Member States and are part of the EBA’s reporting list.
• Banks were required to submit data as of 31 December 2016, converted into euros.

1.2 Requested Data

• Banks provided data on current CET1 capital, total Pillar 1 OFR, and CVA risk charge.
• Hypothetical CVA risk charge was calculated by reintegrating transactions currently excluded from the CVA risk charge under the CRR.
• Exempted transactions include:
  • Transactions with non-financial counterparties (Article 382(4)(a))
  • Transactions with pension fund counterparties (Article 382(4)(c))
  • Transactions with sovereign counterparties (Article 382(4)(d))
• Clients' transactions (Article 382(3)) were not reintegrated for consistency with the 2015 exercise.
• The EBA recommends reconsidering the treatment of all exempted transactions under the CRR, while maintaining incentives for indirect clearing.

2. Materiality of CVA Risk

2.1 Total Exposure Value of Derivative Transactions

• 73% of the banks in the sample have a total exposure value (EAD) greater than EUR 150 million for derivative transactions.
• The distribution of EAD values is as follows:
  • Observations: 169
  • Minimum: EUR 403,234
  • 25th percentile: EUR 127,400,135
  • 50th percentile: EUR 665,814,691
  • 75th percentile: EUR 5,030,484,021
  • Maximum: EUR 96,464,654,491

2.2 Current CVA Risk

• Current X is defined as the ratio of current CVA risk charge to total Pillar 1 OFR.
• Over half of the institutions in the sample have a Current X below 1%, while 10% have a Current X above 4%.
• Quartiles of the distribution:
  • Observations: 169
  • Minimum: 0.00%
  • 25th percentile: 0.22%
  • 50th percentile: 0.70%
  • 75th percentile: 1.62%
  • Maximum: 39.79%

3. Impact Figures Excluding Intragroup Transactions

3.1 Impact on CVA Risk Charge

• The median bank would see its current CVA risk charge multiplied by 2.68 when exempted transactions are reintegrated.
• Quartiles of the distribution:
  • Observations: 125
  • Minimum: ↓1
  • 25th percentile: 1.66
  • 50th percentile: 2.68
  • 75th percentile: 7.66
  • Maximum: 440.16

3.2 Impact on Ratio of CVA Risk to Total Pillar 1

• Hypothetical X is the ratio of hypothetical CVA risk charge to hypothetical total Pillar 1 OFR.
• Over half of the institutions have a Hypothetical X below 3%, while 34% have a Hypothetical X above 4%.
• Quartiles of the distribution:
  • Observations: 128
  • Minimum: ↓0
  • 25th percentile: 0.97%
  • 50th percentile: 2.63%
  • 75th percentile: 6.18%
  • Maximum: 42.89%

3.3 Impact on Capital

• Undercapitalisation was assessed for different y% thresholds, where y% represents the proportion of hypothetical CVA risk that is capitalised.
• If 50% of hypothetical CVA risk were capitalised, 84 institutions would be undercapitalised by an average of EUR 120 million.
• The median bank would be undercapitalised by approximately EUR 30 million.
• Total undercapitalisation in the sample amounts to approximately EUR 10 billion.

3.4 Impact on CET1 Ratio

• For the 30 most affected institutions, capitalising 100% of hypothetical CVA risk would result in a CET1 ratio decrease of more than 200 basis points for six institutions.
• This highlights the significant impact of CVA risk on capital adequacy for some banks.

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 intragroup transactions are reintegrated.
• Quartiles of the distribution:
  • Observations: 129
  • Minimum: ↓1
  • 25th percentile: 1.66
  • 50th percentile: 3.06
  • 75th percentile: 7.66
  • Maximum: 3,836.37

4.2 Impact on Ratio of CVA Risk to Total Pillar 1

• Hypothetical X includes the reintegration of intragroup transactions.
• Over half of the institutions have a Hypothetical X below 3%, while 38% have a Hypothetical X above 4%.
• Quartiles of the distribution:
  • Observations: 132
  • Minimum: ↓0
  • 25th percentile: 1.03%
  • 50th percentile: 2.77%
  • 75th percentile: 6.11%
  • Maximum: 42.89%

4.3 Impact on Capital

• Undercapitalisation was calculated for different y% thresholds, with the same formula as in Section 3.3.
• If 50% of hypothetical CVA risk were capitalised, 88 institutions would be undercapitalised by an average of EUR 132 million.
• Total undercapitalisation across the sample would be approximately EUR 11 billion.

4.4 Impact on CET1 Ratio

• The CET1 ratio impact for the 30 most affected institutions is shown, with some institutions experiencing a decrease of more than 200 basis points when 100% of hypothetical CVA risk is capitalised.
• This underscores the potential material impact of CVA risk on capital ratios, even when intragroup transactions are included.