Regulatory Alerts2025-01-01
Final Report on Draft RTS for Credit Valuation Adjustment Risk in Securities Financing Transactions
The European Banking Authority has finalized draft Regulatory Technical Standards requiring institutions to quantitatively assess whether Credit Valuation Adjustment risk exposures from fair-valued securities financing transactions are material for capital calculation purposes. The standards establish a 5% materiality threshold based on the proportional increase in CVA capital requirements and mandate quarterly assessments to align with existing supervisory reporting cycles. This framework ensures a consistent, objective application of CVA risk capital rules across the EU banking sector while minimizing computational burdens.
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