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.
The EBA already started the data collection for the 2017 CVA risk monitoring exercise, which will be part of its regular Basel III monitoring exercise. To this end, the EBA has drafted and included in the Basel III monitoring reporting template an EU-specific worksheet on CVA, and its related instructions.
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