BIS Proposes "Limited Adjustments" To Revised Basel III CVA Framework

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

In the consultative document, "Credit Valuation Adjustment risk: targeted final revisions," the Basel Committee asked stakeholders to provide comment on the proposed adjustments to the December 2017 finalized Basel III standards, including:

• updating the CVA risk framework to reflect the changes made in the market risk framework in January 2019 (see previous coverage), such as adjusting the risk weights in the CVA standardized approach ("SA-CVA") for interest rate risk, foreign exchange risk, and certain exposures subject to counterparty credit spread risk;