EBA consults on CVA risk exposures from SFTs 09 July 2024France Reporter: Daniel Tison
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The European Banking Authority (EBA) has launched a consultation to specify the conditions and criteria to assess whether the credit valuation adjustment (CVA) risk exposures arising from fair-valued securities financing transactions (SFTs) are material.
The concept of materiality in the draft Regulatory Technical Standards (RTS) will determine whether fair-valued SFTs can be exempted from own funds requirements for CVA risk.
The draft sets out a ratio that quantifies the amount of CVA risk arising from fair-valued SFTs relative to the CVA risk of transactions within the scope of own funds requirement for CVA risk.
To ensure consistency with the regular calculation and reporting cycle of own funds requirements by institutions, EBA says the draft RTS proposes to carry out the assessment on a quarterly basis.
A public hearing on the draft RTS will take place via a conference call on 4 September 2024.
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