Trésorier magazine - n°78 - 2ème trimestre 2012 - (Page 47)

U Commission has a plan for adopting stricter capital requirements and better corporate governance for banks and investment firms (the so-called “CDR IV” project). Despite the fact it only concerns financial institutions, this project of Directive could indirectly heavily impact non-financial corporations. The new rules will have to be translated into national law by end of 2012. In this new proposal (, it appears that there will be no exemptions for exposures to corporates from Credit Valuation Adjustment (CVA) charges (regulation, part3, title VI, p.56). Should we as European corporate treasurers be worry by this part of the proposal? We certainly should. At Treasury Associations level, we are really concerned about potential impact on bilateral derivatives trades, which may become very expensive due to new capital requirements imposed on banks to hold the capital to cover the CVA risk. Banks will be forced to charge more to corporates and therefore hedging may become unaffordable. As for the EMIR discussions on OTC (“Over-The-Counter”) derivatives reform, we believe that there is a very strong case for exempting trades with corporates from the E CVA charge in the CRD IV. In the draft of EMIR (European Market Infrastructure Regulation), it has been recognised that, in general, transactions with corporates should be exempted from central clearing counterparty (i.e. CCP’s) for hedging commercial risk and under certain threshold and should receive a proportionate capital treatment. In first drafts of CRD IV, it clearly appeared that transactions with a CCP and including collaterals will be excluded from the own funds requirements for CVA risk (cf. article 270 CVA2 scope p. 380). It is clearly stipulated that all financial institutions shall calculate the own funds requi- rements for CVA risk in accordance with all OTC derivative instruments. The idea was to reflect the counterparty risk run by the bank while dealing with third parties.When calculating the own funds requirements or CVA risk for a counter- party corporate risk, a bank shall base all inputs into its approved internal model for specific risk associated with traded debt position on specific complex formulae (depending on which model adopted by the financial institution calculation are based on).Therefore, we can clearly identify an interaction between EMIR and CRD IV on this particular issue. EU regulation on OTC derivatives contains exemptions (which we were claiming and lobbying for) from mandatory clearing for nonfinancial counterparties using OTC derivatives to cover pure commercial risks and where derivatives exposure does not exceed the clearing threshold (to be further determined in the regulation). However, if the capital that banks are now required to hold for non-cleared OTC derivatives transactions (i.e. without collateral) is too large due to the CVA capital charges that CRD IV Directive would impose, banks will be forced in future to charge more to corporate treasurers. Therefore, hedging transactional risks may become unaffordable for all of us. Such a regulation could effectively block access to risk management products for end-users and limit our ability to hedge the operating business risks we are facing. Even more, it would actually increase volatility 47 TREASURERS’ ASSOCIATIONS To give it, steal it back…

Table des matières de la publication Trésorier magazine - n°78 - 2ème trimestre 2012

EDITORIAL - 2012, l’année des réglementations?
INTERVIEW - Mr. Ulf Bacher & Mr.Thomas Gerke

Trésorier magazine - n°78 - 2ème trimestre 2012