2013_130 Scope of calculation of own funds requirements for CVA risk

Question ID:: 2013_130
Legal Act:: Regulation (EU) No 575/2013 (CRR)
Topic:: Market risk
Article:: 382
Paragraph:: 2
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations:: Not applicable
Article/Paragraph:: 382
Disclose name of institution / entity:: No
Type of submitter:: Credit institution
Subject Matter:: Scope of calculation of own funds requirements for CVA risk
Question:: Can you provide some details on what criteria and/or thresholds are likely to apply in order to determine that securities financing transactions are material in the context of article 382(2)?
Background on the question:: Article 382(2) of Regulation 575/2013 states: An institution shall include securities financing transactions in the calculation of own funds required by paragraph 1 if the competent authority determines that the institution's CVA risk exposures arising from those transactions are material.
Date of submission:: 07/08/2013
Published as Final Q&A:: 15/11/2013
Final Answer:: Whether an institution's CVA risk exposures arising from securities financing transactions are considered material is not subject to any EBA guidance at this stage, thus remaining the discretion of the competent authorities. Pursuant to Article 456(2) of Regulation (EU) No. 575/2013, the EBA is mandated to monitor the own fund requirements for credit valuation adjustment risk and produce a report in respect of the items contained in that section, with possible impacts on the issue in question.
Status:: Final Q&A
Answer prepared by:: Answer prepared by the EBA.
Note to Q&A:: Update 26.03.2021: This Q&A has been reviewed in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR) and continues to be relevant.