The Reserve Bank of India has released draft directions revising the credit valuation adjustment (CVA) capital framework for commercial banks in line with the final Basel III standards. Banks could adopt either the full or reduced version of the basic approach to CVA risk. Those with an insignificant volume of non-centrally cleared derivatives could instead set their CVA capital charge at 100% of their counterparty credit risk capital charge. The proposed framework clarifies the eligibility and recognition of CVA hedges, makes supervisory risk weights more sensitive to counterparties’ sectors and credit quality, and separates systematic and idiosyncratic risk under the full basic approach. Comments are due by Aug. 28, 2026.
Reserve Bank of India2026-08-07
Reserve Bank of India consults on revised credit valuation adjustment capital framework
The Reserve Bank of India is consulting on a revised CVA capital framework for commercial banks aligned with final Basel III standards. Banks could use the full or reduced basic approach, while those with insignificant non-centrally cleared derivatives could apply a charge equal to 100% of their counterparty credit risk capital charge. Comments are due by Aug. 28, 2026.