The European Banking Authority (EBA) this week published its final draft Regulatory Technical Standards (RTS) to establish criteria for assessing the materiality of Credit Valuation Adjustment (CVA) risk exposures stemming from fair-valued securities financing transactions (SFTs).
The final draft RTS specify the conditions and criteria institutions must use to determine whether CVA risk exposures arising from fair-valued securities financing transactions are material, along with the required frequency of this assessment.
