The European Banking Authority (EBA) published final draft Regulatory Technical Standards (RTS) specifying how institutions must assess whether credit valuation adjustment (CVA) risk exposures from fair-valued securities financing transactions are material and how often that assessment must be performed. The materiality assessment will determine whether those transactions can be exempted from own funds requirements for CVA risk. The draft RTS set a quantitative threshold approach, using a ratio that measures the relative increase in own funds requirements for CVA risk that would result from bringing fair-valued securities financing transactions into scope. They also require a quarterly materiality assessment to align with institutions’ regular calculation and reporting cycle for own funds requirements. The RTS are developed under Article 382(6) of Regulation (EU) No 575/2013 (Capital Requirements Regulation) and form part of the Phase 2 deliverables in the EBA’s roadmap for implementing the EU banking package in the market risk area. The final draft RTS have been adopted by the EBA and submitted to the European Commission.
European Banking Authority 2025-10-29
European Banking Authority issues final draft standards for assessing materiality of CVA risk from fair-valued securities financing transactions
The European Banking Authority (EBA) published final draft Regulatory Technical Standards (RTS) on assessing the materiality of credit valuation adjustment (CVA) risk exposures from fair-valued securities financing transactions. The RTS introduce a quantitative threshold approach and mandate quarterly assessments to determine exemptions from own funds requirements for CVA risk. Developed under Article 382(6) of the Capital Requirements Regulation, these standards have been submitted to the European Commission.