30 May 2023
The European Banking Authority (EBA) today published its Report on the impact and calibration of the Standardised Approach to Counterparty Credit Risk (SA-CCR), simplified SA-CCR and Original Exposure Method (OEM). The impact of setting alpha equal to 1 under SA-CCR for the purposes of the output floor (OF) on a permanent basis is also analysed.
The key findings of the Report, depicting the situation as of 31 December 2021, have been visualised in a dynamic way. To facilitate the navigation, here is the full list of the key indicators that you can find in the graphs:
Slide 1: total impact
Slide 2: impact of business moving from MtM
Slide 3: impact of business moving from SM
Slide 4: impact of business moving from ‘old’ OEM
Slide 1: total figures
Slide 2: figures by collateralisation
Slide 3: figures by counterparty type
Slide 4: figures by CR approach
The analysis in the present report is based on both supervisory reporting data (COREP) and QIS data, with 31 December 2021 as reference date. QIS data have been collected via a dedicated template covering the impact and relative calibration of the standardised approaches for counterparty credit risk (‘EU CCR’), reported by institutions on a voluntary and best-effort basis.
The Report uses four main samples which differ significantly in terms of size and composition:
To avoid double-counting, only credit institutions at the highest level of EU/EEA are included in the samples.
This Report has been drafted in accordance with Article 514(1) of Regulation (EU) No 575/2013, which requests the EBA to report to the Commission on the impact and relative calibration of the SA-CCR, simplified SA-CCR and new OEM, i.e. the CCR methods introduced under Regulation (EU) 2019/876 to replace the MtM, the Standardised Method (SM) and the old OEM.
In European Commission proposal for a Regulation amending the CRR (CRR3), an OF to the risk-based capital requirements is introduced. In Article 465(4) of the CRR3, transitional arrangements are envisaged. For CCR, until 31 December 2029, institutions with IMM permission shall replace alpha by 1 in the SA-CCR calculation of the exposure value for their derivative contracts. Such alpha value can be permanently modified for the purpose of the OF by the European Commission, taking into account this EBA Report. Therefore, the present report includes an analysis of the impact of setting alpha equal to 1 under SA-CCR for the purposes of the OF on a permanent basis.