Page 30 - EBA 2015.1815 Annual report 2014 web 2

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E U R O P E A N B A N K I N G A U T H O R I T Y
28
Ongoing activity
The EBA is expected to publish its CVA Report in the first quarter of 2015. Overall, the EBA supports
the reconsideration or removal of EU exemptions, since (as highlighted by the CVA data collection
exercise and shown in the figure below), they leave potential risks uncaptured in comparison with the
Basel scope.
The EBA is of the opinion that any further work should be taken only after the review of the CVA
framework is carried out as part of the Basel fundamental review of the trading book. This will in-
clude a re-calibration of the framework in a less conservative manner.
Figure 3: Distribution of number of counterparties subject to CVA risk charge per broad counterparty type
0 %
10 %
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30 %
40 %
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100 %
0 %
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Banks
CCPs
Other financials
Non-financial
Sovereign
Basel scope
CRR scope
Distribution per respondent
Distribution per respondent
Percentage of number of counterparties per broad counterparty type
Towards a more coherent Credit Valuation
Adjustment (CVA) framework
Under Article 456(2) of the CRR, the EBA was
mandated to monitor the own funds require-
ments for CVA risk and to submit a report
to the Commission as a basis for possible
amendments to be made via the delegated act
to the current CVA framework. The report had
to assess the scope of the CVA risk charge, the
calculation of capital requirements of CVA risk,
eligible hedges and the treatment of CVA risk
as a stand-alone charge versus an integrated
component of the market risk framework.
In order to provide supporting evidence for the
recommendations made in the report, the EBA
launched a data collection exercise with Euro-