GIBC Comments on EBA Consultation Paper (EBA/CP/2024/14)

This consultation concerns the conditions and criteria for assessing the materiality of CVA risks arising from securities financing transactions measured at market value. The GBIC welcomes the proposals as they create legal certainty for institutions. However, the GBIC believes further analyses are required to determine the level at which the materiality threshold should be set. According to the EBA’s proposals, the CVA risk would be categorised as material for many institutions and, therefore, subject to capital requirements.