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

Related Articles
News

US Agencies Adopt Rule to Exclude Community Banks from Volcker Rule

US Agencies (CFTC, FDIC, FED, OCC, and SEC) adopted a final rule to exclude community banks from the Volcker Rule, in line with amendments to certain sections of the Economic Growth, Regulatory Relief, and Consumer Protection (EGRRCP) Act.

July 22, 2019 WebPage Regulatory News
News

US Agencies Adopt Amendments to Simplify Regulatory Capital Rules

US Agencies (FDIC, FED, and OCC) adopted a final rule that reduces regulatory burden by simplifying several requirements in the regulatory capital rules for banks.

July 22, 2019 WebPage Regulatory News
News

IA of Hong Kong Delegates Inspection and Investigation Powers to HKMA

HKMA and IA of Hong Kong jointly issued a statement announcing the delegation of the inspection and investigation powers of IA to HKMA, pursuant to the statutory regulatory regime for insurance intermediaries under the Insurance Ordinance.

July 19, 2019 WebPage Regulatory News
News

FSB Extends Implementation Timeline for Policy Recommendations on SFTs

FSB announced adjustments to the implementation timelines for its recommendations on securities financing transactions (SFTs), specifically those related to the minimum haircut standards for non-centrally cleared SFTs.

July 19, 2019 WebPage Regulatory News
News

EBA Single Rulebook Q&A: Third Update for July 2019

EBA published answers to six questions under the Single Rulebook question and answer (Q&A) tool this week.

July 19, 2019 WebPage Regulatory News
News

EBA Report Assesses Regulatory Framework for Fintech Activities

EBA published the findings of its analysis on the regulatory framework applicable to fintech firms when accessing the market.

July 18, 2019 WebPage Regulatory News
News

OSFI Revises Capital Requirements for Operational Risk for Banks

OSFI is revising its capital requirements for operational risk, in line with the final Basel III revisions published by BCBS in December 2017.

July 18, 2019 WebPage Regulatory News
News

OSFI Consults on Revised Principles for Management of Liquidity Risk

OSFI proposed revisions to Guideline B-6 on the principles for the management of liquidity risk.

July 18, 2019 WebPage Regulatory News
News

ESMA Guidance on Disclosures for Credit Rating Sustainability Issues

ESMA published the technical advice on sustainability considerations in the credit rating market, along with the final guidelines on disclosure requirements applicable to credit ratings.

July 18, 2019 WebPage Regulatory News
News

FASB Issues Q&A on Estimation of Expected Credit Losses by Firms

FASB issued a second question-and-answer (Q&A) document that addresses more than a dozen frequently asked questions related to the Accounting Standards Update No. 2016-13 titled “Financial Instruments—Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.”

July 17, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3482