The European Banking Authority (EBA) published the complete report for the Credit Value Adjustment (CVA) risk monitoring exercise. The exercise asseses 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 capitalised due to the CRR exemptions.
This second report on CVA risk has been produced on the basis of data submitted by 169 major EU institutions, representing 27 Member States, with reference date as of 31 December 2016. The Report monitors the impact on own fund requirements of the reintegration of the transactions currently exempted from the scope of the CVA risk charge under Article 382(4) of the CRR.
The results of this monitoring exercise, in line with those of the previous exercise, continue to show the materiality of CVA risks that are currently not capitalised due to the CRR exemptions. In particular, 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.
The Basel III post crisis reforms finalised by the Basel Committee on Banking Supervision (BCBS) on 7 December 2017 include, inter alia, the revised framework for CVA risk. Consequently, the EBA will extend the scope of the 2017 CVA risk monitoring exercise to assess the impact of the CRR exemptions also in the context of the future implementation of the revised CVA standards in the EU.
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