India, Oct. 7 -- The Reserve Bank of India (RBI) on Wednesday issued the Reserve Bank of India (Commercial Banks – Credit Valuation Adjustment Framework) Directions, 2026, following stakeholder feedback on the draft guidelines released in August.
The framework revises the capital requirements for credit valuation adjustment (CVA) risk applicable to commercial banks. Key changes include allowing eligible banks to adopt a simpler approach, increasing the sensitivity of supervisory risk weights based on counterparties' sector and credit quality, and clarifying the eligibility and recognition of CVA hedges.
The revised framework also provides for separate treatment of systematic and idiosyncratic CVA risk components under the full Basic...