The Basel Committee on Banking Supervisiony published an updated standard for the regulatory capital treatment of credit valuation adjustment (CVA) risk for derivatives and securities financing transactions.

The revisions for the regulatory capital treatment of CVA risk include:

• recalibrated risk weights;
• different treatment of certain client cleared derivatives; and
• an overall recalibration of the standardised and basic approach.

WOCCU supported bringing the Credit Valuation Adjustment framework in alignment with the finalization of the market risk framework completed in 2019. 

A copy of the standard can be viewed here.