Instructions for 2016 CVA risk monitoring exercise

Transcription

1 21 June 2017 Instructins fr 2016 CVA risk mnitring exercise

2 Cntents 1. Intrductin 3 2. General Scpe f institutins participating in the exercise Reprting date Filling in the data General assumptins fr the exercise Prcess Timeline 6 3. Template Panel 1 - Bank descriptin Panel 2 Current data under CRR Panel 3 Hypthetical capital requirements (derivatives nly) 8 2

3 1. Intrductin Article 456(2) f Regulatin (EU) N 575/2013 ( Capital Requirements Regulatin CRR) mandates the EBA t mnitr the wn funds requirements fr CVA risk and by 1 January 2015 submit a reprt t the Cmmissin. The EBA published its CVA Reprt 1 n 25 February The reprt, which was infrmed by a data cllectin exercise, highlighted the materiality f the CVA risks that are currently nt cvered by EU legislatin due t exemptins and recmmended that EU exemptins shuld be recnsidered and pssibly remved upn cmpletin f a review f the CVA risk charge in Basel 2. The reprt was als making specific prpsals n hw the internatinal standards n CVA risk shuld be amended 3 and was recmmending develping an EBA crdinated apprach fr yearly mnitring f the impact f transactins exempted frm the CVA risk charge and fr defining situatins cnstituting a presumptin f excessive CVA risks t be cnsidered under SREP 4. On 12 Nvember 2015 the EBA cnsulted n Guidelines n the treatment f CVA risk under the supervisry review and evaluatin prcess (SREP). In parallel with the public cnsultatin, the EBA launched a data cllectin exercise based n 2015 data. The exercise is hencefrth referred t as the 2015 CVA risk mnitring exercise. 171 EU banks, representing 28 EU and 1 EEA member states, participated in the 2015 CVA risk mnitring exercise. A shrt reprt presenting the main results f the 2015 CVA risk mnitring exercise is als published tday. Due t cntinued develpments in the CVA risk framewrk at internatinal level, the EBA has put n hld the wrk n its draft Guidelines n the treatment f CVA risk under SREP until further ntice. Instead, the EBA will fcus n mnitring the impact f transactins exempted frm the CVA risk charge and assessing the impact f the revised internatinal standards n CVA risk, in particular n the scpe f exempted transactins, nce the standards are made public. Cmpetent authrities will use the utcme f the EBA mnitring in their assessments f institutins CVA risk perfrmed in accrdance with the EBA Guidelines n cmmn prcedures and methdlgies fr SREP 5 (2014). The EBA will clsely fllw internatinal (BCBS) develpments and, if needed, will review whether further guidance is needed t achieve greater cnsistency in apprpriate risk-based supervisry measures. As the EBA is initiating tday the 2016 CVA risk mnitring exercise, the present instructins are prvided t facilitate the cmpletin f the template fr the 2016 CVA mnitring exercise. They are nt t be cnstrued as an interpretatin f the prvisins f Regulatin (EU) N 575/2013 f CVA Reprt Plicy recmmendatin N3 3 CVA Reprt Plicy recmmendatin N15 4 CVA Reprt Plicy recmmendatin N

4 the Eurpean Parliament and f the Cuncil f 26 June 2013 (CRR) n prudential requirements fr credit institutins and investment firms. 4

5 2. General 2.1 Scpe f institutins participating in the exercise The cllected data will be used fr the 2016 mnitring exercise f the impact f the transactins exempted frm CVA risk in line with plicy recmmendatin N4 made in the CVA Reprt. Accrdingly, the EBA has prduced a list f institutins that are required t cntribute t this exercise. The list is based n the list f EU institutins fr which the EBA receives COREP submissins 6. Each institutin identified in this list shuld fill in a separate template at its level. 2.2 Reprting date All data shuld be reprted as f 31 December Filling in the data The data cllected in this exercise will be treated as strictly cnfidential. Where a participating institutin is unable t answer a questin, the crrespnding cell shuld be left empty. N text such as NA shuld be entered in these cells. Hwever, when the answer t a questin is 0, institutins shuld fill in the cell with 0. The questins target all institutins participating in the data cllectin exercise, unless stated therwise in the template spreadsheet and in the instructins. Answers t the questins shuld nly be prvided in the dedicated yellw cells. 2.4 General assumptins fr the exercise The definitin f CVA fllws the definitin prvided under CRR Article 381. Banks are asked t cmply with the fllwing assumptins thrughut the data cllectin exercise: Only derivative instruments shuld be included. SFTs, which are nly included in the CVA risk charge f banks at the request f cmpetent authrities i.e. when their CVA risk is material, are excluded frm impact figures. The cntributin f SFTs in the current CVA risk charge under CRR scpe is nly requested fr infrmatin (Panel 2). 6 ee83821c9251 5

6 Each time a calculatin f the hypthetical CVA risk charge is requested, the calculated CVA VaR and Stressed VaR shuld be, fr banks applying the Advanced methd, apprximated as the sum f: the mst recent CVA VaR as f 31 December 2016 multiplied by the multiplier applied t the CVA VaR. and the mst recent CVA Stressed VaR as f 31 December 2016 multiplied by the multiplier applied t the CVA Stressed VaR. In particular, n averaging ver 60 business days will be required. Instead, the CVA VaR and Stressed VaR will be assumed t be flat ver Octber, Nvember and December 2016 and equal t the values cmputed as f 31 December Regarding the scpe f transactins referred t by CRR scpe, the EBA is aware f varius interpretatins regarding the exemptins set ut under Article 382(4) in particular cncerning transactins with pensin funds. As a general rule, institutins shuld cnsider under CRR scpe the transactins that are currently under the scpe f their CVA risk charge under CRR. 2.5 Prcess The prcess will be crdinated by cmpetent authrities (cntact with participating institutins). Hwever, data quality checks and data analysis will be perfrmed centrally at the EBA. Participating institutins may submit their questins n the template r instructins by t CVA-QIS@eba.eurpa.eu. 2.6 Timeline June 2017 Publicatin f template and instructins Circulatin f template t EU institutins by cmpetent authrities 14 September 2017 Deadline fr transmissin f templates t cmpetent authrities 22 September 2017 Deadline fr transmissin f templates t EBA Week f 25 September 2017 EBA Analysis team t perfrm data quality checks. Where needed, resubmissin t cmpetent authrities fr circulatin t EU institutins 13 Octber Deadline fr transmissin f templates t cmpetent authrities 20 Octber Deadline fr transmissin f templates t EBA Week f 23 Octber EBA Analysis team t prceed t data analysis, prductin f graphs and slides 6

7 3. Template 3.1 Panel 1 - Bank descriptin Rw Clumn Heading Descriptin 5 E Bank name Please prvide the name f the legal entity r head f the grup. 6 E LEI Cde Please prvide the Legal Entity Identifier. 7 E Reprting currency used in template Please prvide the three-character ISO cde (e.g. EUR, GBP ). 8 E Reprting Unit Please select frm the drp-dwn menu whether the numbers are given in units, thusands r millins. 9 E Reprting Date Please indicate 31 December Panel 2 Current data under CRR Rw Clumn Heading Descriptin 13 E Ttal CET1 Please prvide the ttal CET1 at the reference date as reprted in COREP. 14 E 15 E 16 E Ttal wn funds requirement under Pillar 1 (in RWA) Ttal wn funds requirements fr CVA risk (in RWA) Of which: Ttal wn funds requirement fr CVA risk excluding SFTs (in RWA) Please prvide in RWA the ttal wn funds requirement fr Pillar 1 at the reference date as reprted in COREP. Please prvide in RWA the ttal wn funds requirement fr CVA risk as reprted in COREP at the reference date including SFTs if currently required by CA. Please prvide in RWA the ttal wn funds requirements fr CVA risk as reprted in COREP, excluding SFTs, at the reference date. An apprximatin f the cntributin f SFTs is acceptable. 7

8 3.3 Panel 3 Hypthetical capital requirements (derivatives nly) General In this Sectin, institutins are required t submit figures fr ttal ntinal, CCR EAD, ttal CCR RWA and ttal CVA RWA (current CRR framewrk) with a breakdwn f the ttal CVA RWA accrding t the Standardised methd and the Advanced methd (where the institutin has the required apprvals t use the Advanced methd) fr the fllwing categries: All derivative transactins Basel scpe Nn-QCCP cleared derivative transactins CRR scpe Nn-QCCP cleared derivative transactins Regarding the Basel scpe fr transactins, institutins shall prvide the verall all in figures in abslute values and then specify, in percentage terms, the marginal cntributin f each f the exempted cunterparties as defined accrding t Article 382(4) f CRR. Fr this exercise, SFT is nt t be cnsidered as part f the Basel scpe r CRR scpe. All institutins participating in the exercise shall fill in this panel. When including an exempted cunterparty in the scpe f the CVA risk charge, institutins shuld cnsider all transactins with exempted cunterparties as unhedged, even if they in fact have existing credit derivatives r similar instruments held as f 31 December 2016 that wuld be recgnised as eligible hedges in either the advanced r the standardised methds accrding t Article 386 f the CRR. Intragrup transactins EBA Q&A 1929 has clarified the scpe f the exemptin under article 382(4)(b): this shuld be used t cmpute the figures in rw 30. Accrding t that Q&A, are exempt frm CVA charge under Article 382(4)(b) 7 : intragrup transactins with entities established in the EU; intragrup transactins with entities established in a third cuntry where the Cmmissin has adpted an implementing act under Article 13(2) f EU Regulatin 648/2012 in respect f that third cuntry 8 ; 7 Fr the purpses f this mnitring exercise, the discretin fr cmpetent authrities t require the integratin f intragrup transactins in the case f adpted natinal laws requiring the structural separatin within a banking bk is ignred 8 At the date f publicatin f these instructins, the EBA is nt aware f any implementing act having been adpted under Article 13(2) f EMIR, s that the gegraphical scpe f the exemptin appears t be limited t the EU 8

9 As fr the figures reprted in rws 22, 23, 24 and 27, the cmputatins shuld be based n the institutin s intragrup transactins, remaining after cnslidatin (if any), at the level f the COREP institutin submitting the template. In particular, the cntributin f intra-grup transactins: shuld be nn-zer fr COREP institutins that are subsidiaries f a grup (r anther institutin) and have derivative transactins with this grup (r ther institutin); may be equal t zer fr COREP institutins that are grups (r institutins withut any parent institutin), fr which intragrup transactins are remved as part f the cnslidatin prcess. As fr the additinal impact cmputatins requested in rws 31 t 33, institutins are asked t prvide the hypthetical impact f the reintegratin f intragrup transactins f all entities within the scpe f cnslidatin f the COREP institutin submitting the template. Fr example, if the COREP institutin submitting the template is a parent institutin P f tw subsidiaries A and B. If A has intragrup with P, B has intragrup with P, A and B have intragrup, the impact wuld be the sum f: Hypthetical CVA impact = CVA f P with A + CVA f P with B + CVA f A with P + CVA f B with P + CVA f A with B + CVA f B with A The marginal impact is requested as a % f the figures in rw 30 i.e. rati f hypthetical CVA impact (as calculated abve) t rw 30 expressed in % in the fllwing scenaris: Rw 31: Cmputatin f the hypthetical marginal impact, where intragrup transactins between the institutin s entities established in the EU r in a third cuntry fr which the Cmmissin has adpted an implementing act under Article 13(2) f EU regulatin 648/2012 remain exempt (same gegraphical scpe as in rw 30, but cmputatin f hypthetical impact) Rw 32: Cmputatin f the hypthetical marginal impact, where: Fr institutins having the SSM as cmpetent authrity: intragrup transactins between the institutin s entities established in the cuntries participating t the SSM remain exempt Other institutins having a nn-ssm authrity as cmpetent authrity: intragrup transactins between the institutin s entities established in a same Member State remain exempt Rw 33: Cmputatin f the hypthetical marginal impact, where intragrup transactins between the institutin s entities established in a same Member State remain exempt. 9

10 Panel descriptin Rw Clumn Heading Descriptin 22 E-I 23 E-I 24 E-I 25 E-I All derivative transactins Of which: OTC derivative transactins Nn-QCCP cleared derivative transactins (Basel scpe) Of which: Marginal cntributin f client s transactins - CRR Article 382(3) in % (f Basel scpe) The scpe f transactins cnsidered shuld cnsist f all derivative transactins at the level f the COREP institutin as f 31 December 2016 including: - the institutin s transactins with EU and nn-eu NFCs that are excluded under CRR article 382(4)(a) - the institutin s intragrup transactins remaining after cnslidatin - at the level f the COREP institutin submitting the template. - the institutin s transactins with pensin funds that are excluded under CRR article 382(4)(c) - the institutin s transactins with svereign cunterparties that are excluded under CRR article 382(4)(d). QCCP and nn-qccp cleared transactins shuld be included. Subset f transactins reprted in rw 22 crrespnding t OTC derivative transactins. Same as in rw 22 but excluding QCCP cleared derivative transactins i.e. transacted directly with a qualified central cunterparty. Based n the abve scpe f transactins and fr all the abve transactins that wuld be subject t the advanced methd if they were within the scpe f the CVA risk charge, the hypthetical wn funds requirement fr CVA risk cmputed using the advanced methd shuld be cmputed as the sum f: - the mst recent CVA VaR as f 31 December 2016 multiplied by the multiplier applied t the CVA VaR - and the mst recent CVA Stressed VaR as f 31 December 2016 multiplied by the multiplier applied t the CVA Stressed VaR The result shuld be multiplied by 12.5 in rder t btain RWA. Percentage cntributin t Ttal ntinal/ttal CCR EAD/ Ttal CCR RWA/CVA risk charge as reprted in rw 24 f the institutin s transactins with clients that are currently excluded under CRR article 382(3) 26 E-I Of which: Marginal cntributin f nn- Percentage cntributin t Ttal ntinal/ttal CCR EAD/ Ttal CCR RWA/CVA risk charge as reprted in rw 24 f the 10

11 Rw Clumn Heading Descriptin 27 E-I 28 E-I 29 E-I 30 E-I financial cunterparties - CRR Article 382(4)(a) in % (f Basel scpe) Of which: Marginal cntributin f intragrup cunterparties - CRR Article 382(4)(b) in % (f Basel scpe) Of which: Marginal cntributin f pensin funds cunterparties - CRR Article 382(4)(c) in % (f Basel scpe) Of which: Marginal cntributin f svereign cunterparties - CRR Article 382(4)(d) in % (f Basel scpe) Nn-QCCP cleared derivative transactins (CRR scpe) institutin s transactins with EU and nn-eu NFCs that are currently excluded under CRR article 382(4)(a) Percentage cntributin t Ttal ntinal/ttal CCR EAD/ Ttal CCR RWA/CVA risk charge as reprted in rw 24 f the institutin s intragrup transactins that are currently excluded under CRR article 382(4)(b) As specified abve, this may be 0% in case the reprting institutin is a grup established in the EU, fr which all intragrup transactins are remved as part f the cnslidatin prcess Percentage cntributin t Ttal ntinal/ttal CCR EAD/ Ttal CCR RWA/CVA risk charge as reprted in rw 24 f the institutin s transactins with pensin funds that are currently excluded under CRR article 382(4)(c) Percentage cntributin t Ttal ntinal/ttal CCR EAD/ Ttal CCR RWA/CVA risk charge as reprted in rw 24 f the institutin s transactins with svereign cunterparties that are currently excluded under CRR article 382(4)(d) The scpe f transactins cnsidered shuld cnsist f all the institutin s derivative transactins as f 31 December 2016 excluding: - client s transactins excluded under CRR article 382(3) - the institutin s transactins with EU and nn-eu NFCs that are excluded under CRR article 382(4)(a) - the institutin s intragrup transactins that are excluded under CRR article 382(4)(b), as clarified by EBA Q&A the institutin s transactins with pensin funds that are excluded under CRR article 382(4)(c) - the institutin s transactins with svereign cunterparties that are excluded under CRR article 382(4)(d). QCCP cleared derivative transactins are excluded. Based n the abve scpe f transactins the wn funds requirement fr CVA risk cmputed using the advanced methd shuld be cmputed as the sum f: - the mst recent CVA VaR as f 31 Decmber 2016 multiplied by the multiplier applied t the CVA VaR - and the mst recent CVA Stressed VaR as f 31 December 2016 multiplied by the multiplier applied 11

12 Rw Clumn Heading Descriptin t the CVA Stressed VaR The result shuld be multiplied by 12.5 in rder t btain RWA. 31 H-I 32 H-I 33 H-I Intragrup transactins between entities established in the EU are exempt Intragrup transactins subject t same EU cmpetent authrity are exempt Intragrup transactins between entities established in a same Member State are exempt Hypthetical marginal impact f reintegrating intragrup transactins f all entities within the scpe f cnslidatin f the COREP institutin submitting the template, where intragrup transactins between the institutin s entities established in the EU r in a third cuntry fr which the Cmmissin has adpted an implementing act under Article 13(2) f EU Regulatin 648/2012 remain exempt (same gegraphical scpe as in rw 30, but cmputatin f hypthetical impact as specified in p.7 and 8 f these instructins) The marginal impact shuld be expressed as a % f the impact figures in rw 30 (e.g. 1% in rw 31 wuld indicate that the CVA risk RWA given in rw 30 wuld increase by 1% in the present scenari) Hypthetical marginal impact f reintegrating intragrup transactins f all entities within the scpe f cnslidatin f the COREP institutin submitting the template, where: - Fr institutins having the SSM as cmpetent authrity: intragrup transactins between the institutin s entities established in the cuntries participating t the SSM remain exempt - Fr institutins having a nn-ssm authrity as cmpetent authrity: intragrup transactins between the institutin s entities established in a same Member State remain exempt The marginal impact shuld be expressed as a % f the impact figures in rw 30 (e.g. 1% in rw 31 wuld indicate that the CVA risk RWA given in rw 30 wuld increase by 1% in the present scenari) Hypthetical marginal impact f reintegrating intragrup transactins f all entities within the scpe f cnslidatin f the COREP institutin submitting the template, where intragrup transactins between the institutin s entities established in a same Member State remain exempt The marginal impact shuld be expressed as a % f the impact figures in rw 30 (e.g. 1% in rw 31 wuld indicate that the CVA risk RWA given in rw 30 wuld increase by 1% in the present scenari). 12