The Basel Committee on Banking Supervision today published an updated standard for the regulatory capital treatment of credit valuation adjustment (CVA) risk for derivatives and securities financing transactions.
The revisions for the regulatory capital treatment of CVA risk include:
- recalibrated risk weights;
- different treatment of certain client cleared derivatives; and
- an overall recalibration of the standardised and basic approach.
In November 2019 the Committee consulted on a set of targeted, final revisions to the CVA risk framework published in December 2017. The changes finalised today bring the revised CVA risk framework into alignment with the market risk framework.
The Committee would like to thank all those who contributed time and effort to express their views during the consultation process. Completion of the final adjustments to the CVA framework represents the conclusion of outstanding policy work related to the Basel III framework. Committee members reaffirmed their expectation of full, timely and consistent implementation of all elements of these reforms and the Committee will continue to closely monitor their implementation.