BIS Finalizes Adjustments To Basel III CVA Framework

The Bank for International Settlements ("BIS") Basel Committee on Banking Supervision finalized several "limited" revisions to the credit valuation adjustment ("CVA") risk framework.

As previously covered, the BIS proposed amendments to its CVA risk framework in November 2019. The revisions include:

• incorporating changes made in the market risk framework in January 2019 (see previous coverage), such as reducing and capping the risk weights in the CVA standardized approach ("SA-CVA");
• establishing new "index buckets" which provide banks the ability, subject to conditions, to calculate capital requirements using credit and equity indices directly instead of looking through to the index constituents;