The EBA consults on criteria to assess the materiality of CVA risk exposures arising from securities financing transactions
The European Banking Authority (EBA) launched today a consultation on draft Regulatory Technical Standards (RTS) to specify the conditions and the criteria to assess whether the credit valuation adjustment (CVA) risk exposures arising from fair-valued securities financing transactions are material, as well as the frequency of that assessment. The concept of materiality set out in the draft RTS will determine whether fair-valued securities financing transactions can be exempted from own funds requirements for CVA risk. The consultation runs until 8 October 2024.
The draft RTS propose to use a quantitative threshold approach to determine the materiality of CVA risk exposures arising from fair-valued securities financing transactions. In particular, the draft RTS set out a ratio that quantifies the amount of CVA risk arising from fair-valued securities financing transactions relative to the CVA risk of transactions within the scope of own funds requirements for CVA risk. To ensure consistency with the regular calculation and reporting cycle of own funds requirements by institutions, the draft RTS propose to do the assessment on a quarterly basis.
Consultation process
Comments to this consultation can be sent to the EBA by clicking on the "Send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 8 October 2024. All contributions received will be published following the close of the consultation, unless requested otherwise.
A public hearing on these draft RTS will take place via conference call on 4 September 2024 from 15:00 to 16:00 CET. The EBA invites interested stakeholders to register using this link by 30 August 2024, 16:00 CET.
Legal basis and background
Article 382(6) of Regulation (EU) No 575/2013 (Capital Requirements Regulation - CRR), mandates the EBA to develop draft RTS to specify the conditions and the criteria that institutions are to use to assess whether the CVA risk exposures arising from fair-valued securities financing transactions are material, as well as the frequency of that assessment.
Documents
Consultation Paper on draft RTS on CVA risk of SFTs
(433.92 KB - PDF)
Press contacts
Franca Rosa Congiu