Featured Product

    EBA Publishes Results of the 2016 CVA Risk Monitoring Exercise

    May 04, 2018

    EBA published a report on its 2016 credit valuation adjustment (CVA) risk monitoring exercise. The report assesses the impact on own funds requirements of the reintegration of the transactions currently exempted from the scope of the CVA risk charge. The results, in line with those of the previous monitoring exercise, continue to show the materiality of CVA risks that are currently not capitalized due to the Capital Requirements Regulation (CRR) exemptions. Taking into account caveats on data quality, the results highlight that the median bank would see its current CVA risk charge multiplied by 3.06 when reintegrating exempted transactions.

    EBA produced this report on the basis of data submitted by 169 major EU institutions, representing 27 member states, with reference date as of December 31, 2016.  This is the second EBA report on CVA risk monitoring. The report has been drafted in accordance with Article 456(2) of CRR (EU Regulation No 575/2013), which mandates EBA to monitor the own funds requirements for credit valuation adjustment risk. In the CVA Report published in February 2015, EBA had identified a number of possible improvements to the CVA framework that should be introduced at the European level and should be taken into account in the revision of the Basel CVA framework. 
     
    The Basel III post crisis reforms, which BCBS finalized and issued on December 07, 2017 include, among others, the revised framework for CVA risk. Consequently, EBA will extend the scope of the 2017 CVA risk monitoring exercise to assess the impact of CRR exemptions also in the context of the future implementation of the revised CVA standards in the EU. EBA has already started data collection for the 2017 CVA risk monitoring exercise, which will be part of its regular Basel III monitoring exercise. To this end, EBA has drafted and included, in the Basel III monitoring reporting template, an EU-specific worksheet on CVA and its related instructions.

     

    Related Links

    Keywords: Europe, EU, Banking, CVA Risk, Credit Risk, CRR, Basel III, EBA

    Featured Experts
    Related Articles
    News

    BCBS Finalizes Revisions to Credit Valuation Adjustment Risk Framework

    BCBS Finalizes Revisions to Credit Valuation Adjustment Risk Framework

    July 08, 2020 WebPage Regulatory News
    News

    PRA Statement on Application of Matching Adjustment Amid Crisis

    PRA published a statement to insurers that clarifies the approach to application of the matching adjustment during COVID-19 crisis.

    July 07, 2020 WebPage Regulatory News
    News

    EBA Provides Clarity on Implementation of Certain COVID-19 Policies

    EBA published a report on the implementation of selected COVID-19 policies within the prudential framework for banking sector.

    July 07, 2020 WebPage Regulatory News
    News

    EC Consults on Revision of Network and Information Systems Directive

    EC launched a consultation to revise the network and information systems (NIS) Directive (2016/1148), which was adopted in July 2016 and is the first horizontal internal market instrument aimed at improving the resilience of the EU against cybersecurity risks.

    July 07, 2020 WebPage Regulatory News
    News

    PRA Statement on LIBOR Transition and PRA Resolution-Related Rules

    PRA published a statement that outlines its view on the implications of LIBOR transition for contracts in scope of the “Contractual Recognition of Bail-In” and “Stay in Resolution” parts of the PRA Rulebook.

    July 07, 2020 WebPage Regulatory News
    News

    PRA Issues Updates to Pillar 2A Capital Framework in UK

    PRA published the policy statement PS15/20 to reflect additional resilience associated with higher macro-prudential buffers in a standard risk environment with a reduction in Pillar 2A capital requirements.

    July 06, 2020 WebPage Regulatory News
    News

    BCBS Report Examines Progress on Adoption of Basel III Framework

    BCBS published the eighteenth progress report on implementation of the Basel III regulatory framework in member jurisdictions.

    July 06, 2020 WebPage Regulatory News
    News

    FCA Proposes Guidance to Further Support Consumer Credit Customers

    FCA announced proposals that would provide continued support for certain consumer credit products to users, who are facing a financial impact because of the exceptional circumstances arising from the COVID-19 pandemic.

    July 03, 2020 WebPage Regulatory News
    News

    ACPR Publishes Draft of Taxonomy RAN 1.4.0 for Solvency II Reporting

    ACPR published a draft version of taxonomy RAN 1.4.0_PWD1, along with the related documentation, for Solvency II reporting.

    July 03, 2020 WebPage Regulatory News
    News

    BCBS Amends Guidelines on Sound Management of AML/CFT Risks

    BCBS amended the guidelines on sound management of risks related to money laundering and financing of terrorism (ML/FT).

    July 02, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5445