Industry Associations Offer Recommendations On Proposed Basel III CVA Framework

ISDA, the Global Financial Markets Association and the Institute of International Finance (the "Associations") offered recommendations on the Bank for International Settlements (BIS) Basel Committee's proposed revisions to the bank regulatory credit valuation adjustment ("CVA") risk framework.

In a BIS consultative document published in November 2019, the Basel Committee proposed several "limited adjustments" to the CVA risk framework. Stakeholders were asked to provide feedback on the proposed adjustments to the Basel III standards by February 25, 2020.

In a letter to BIS, the Associations recommended setting the CVA multiplier at one, to address, at least in part, the calibration issues outlined in the BIS consultation. The associations asserted that: