EBA publishes results on impact and calibration of standardised approaches for counterparty risk

EBA released a report on the impact and calibration of various standard approaches to CCR, the report focused on the SA-CCR and OEM.
The introduction of new CCR standard methods in the EU resulted in an estimated aggregate impact of -7.2% on EV, with a median bank experiencing a 31% increase. Larger banks generally had negative impacts, while banks with smaller derivative business had positive impacts on CCR but limited impact on total credit risk.
Derivative business shifted from the MtM to SA-CCR, which better recognizes margined business compared to the old methods. SA-CCR produced EV figures that were 60% higher on average (40% for the median bank) compared to the IMM, aligning with the objectives of the SA-CCR framework.
Simplified SA-CCR showed an average 60% higher EV figures than SA-CCR (40% for the median bank). The OEM was the most conservative approach, with average EV figures 110% higher than simplified SA-CCR (30% for the median bank).
The report also analyzed the impact of setting alpha equal to 1 under SA-CCR for the OF on a permanent basis, finding that it only marginally reduced the impact of the OF by -0.2%.
The report utilized data from supervisory reporting and voluntary QIS data as of 31 December 2021, it included analysis of different sample sizes and compositions of institutions.