08.07.2020

The Basel Committee on Banking Supervision (BCBS) updated its standard for the regulatory capital treatment of credit valuation adjustment (CVA) risk for derivatives and securities financing transactions, bringing the CVA risk framework into alignment with the market risk framework and concluding the outstanding policy work related to the Basel III framework. The new framework replaces the version published in December 2017 and comes into effect on 1 January 2023. The revisions include recalibrated risk weights, a different treatment of certain client-cleared derivatives, and an overall recalibration of the standardised and basic approach.

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