On 29 October 2025, the European Banking Authority (EBA) issued a Final Report on draft Regulatory Technical Standards (RTS) on credit valuation adjustment (CVA) risk of securities financing transactions (SFTs).

Background

The Capital Requirements Regulation (CRR) as amended by Regulation 2024/1623 (CRR3) implements in the EU the revised framework for the determination of own funds requirements for CVA risk.

Article 382(6) of the CRR (as amended) mandates the EBA to develop draft RTS to specify the conditions and the criteria that institutions shall use to assess whether the CVA risk exposures arising from fair-valued SFTs are material, as well as the frequency of that assessment.

The draft RTS are part of the Phase 2 deliverables of the EBA roadmap on the implementation of the EU banking package in the area of market risk​. When producing the draft RTS the EBA has considered the feedback it received to an earlier consultation which took place from 8 July 2024 until 8 October 2024.

Draft RTS

The draft RTS set out a quantitative approach for the determination of the materiality of CVA risk exposures arising from fair-valued SFTs. In particular, they specify an assessment based on a ratio that quantifies the increase of CVA risk arising from the inclusion of fair-valued SFTs in scope of the own funds’ requirements for CVA risk.

Next steps

The draft RTS will be submitted to the European Commission for adoption following which they will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the EU.