An institution must calculate own funds requirements for CVA risk for all OTC derivative instruments across its business, excluding credit derivatives recognised to reduce risk-weighted exposure amounts. Securities financing transactions that are fair-valued are included where CVA exposures are material. Transactions with a qualifying central counterparty, clients’ transactions via a clearing member that create the clearing member’s trade exposure, and specified categories of counterparties are excluded: non-financial counterparties below the clearing threshold; certain intragroup non-financial and financial transactions meeting conditions; counterparties under transitional provisions of Article 89(1) of Regulation (EU) No 648/2012; and counterparties for which Articles 114(4) and 115(2) assign a 0% risk weight. Exemptions entered during transitional periods remain for the contract term and outstanding contracts that cease to be exempt remain exempt until maturity.

By derogation, an institution may elect to calculate CVA own funds for excluded transactions where eligible hedges are used, subject to internal policies; institutions must report those calculations to competent authorities using the approaches they would have applied if the transactions were not excluded. The Commission may adopt implementing acts determining third-country equivalence for prudential requirements. EBA must review application to non-financial third-country counterparties by 1 January 2015 and biennially thereafter, and with ESMA develop draft RTS to specify exclusion procedures within six months of each review. EBA must also develop RTS by 10 July 2026 to define materiality and assessment frequency for fair-valued securities financing transactions; the Commission is delegated powers to adopt those RTS under Regulation (EU) No 1093/2010.