On 8 July 2024, the European Banking Authority (EBA) issued a consultation on draft regulatory technical standards (RTS) specifying the conditions and the criteria to assess whether the credit valuation adjustment (CVA) risk exposures arising from fair-valued securities financing transactions (SFTs) are material, as well as the frequency of that assessment.

The EBA has produced the draft RTS per the mandate given to it under Article 382(6) of the Capital Requirements Regulation. The objective of the draft RTS is to establish a common approach for assessing the materiality of CVA risk exposures arising from fair-valued SFTs, which will determine whether they should be included in scope of the own funds requirements for CVA risk. In this way, the draft RTS contribute to ensure a consistent implementation of the own funds requirements for CVA risk in the EU.

The deadline for comments on the consultation is 8 October 2024.

A public hearing on the 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 by 30 August 2024, 16:00 CET.

The EBA will assess the feedback received during the public consultation before submitting the draft RTS in their final form to the European Commission for adoption.