MUMBAI, India, Oct. 7 -- Reserve Bank of India issued the following press release:
The Reserve Bank of India had issued draft Directions on the 'Credit Valuation Adjustment (CVA) Framework' on August 7, 2026, inviting feedback from stakeholders until August 28, 2026.
2. The draft Directions proposed modifications to the instructions on capital charge for CVA risk for commercial banks. Key revisions included: (i) allowing eligible banks to choose a simpler approach; (ii) increasing the sensitivity of supervisory risk weights for counterparties by sector and credit quality; (iii) clarifying the eligibility and recognition of CVA hedges; and (iv) separate systematic and idiosyncratic CVA risk components in the full Basic Approach (BA-CVA) ca...