On 8 July 2020, the Basel Committee on Banking Supervision (Basel Committee) published a paper setting out the final targeted revisions to the credit valuation adjustment (CVA) risk framework.

In January 2019 the Basel Committee published the revised market risk framework. In November 2019 the Basel Committee consulted on a set of targeted final revisions to the CVA risk framework designed to replace the standard published in December 2017. The amendments proposed in the consultation document were intended to align the relevant parts of the CVA risk framework with the final market risk standard and capital requirements for bank exposures to central counterparties. Concurrently, the Basel Committee also sought feedback on a possible calibration adjustment to overall capital requirements calculated under the CVA standardised and basic approaches.

The final revisions in the paper now published incorporate the changes proposed in November 2019 and have also been informed by a quantitative impact assessment based on data as of end-June 2019. Compared to the earlier standard, the revisions include recalibrated risk weights, a different treatment for certain client cleared derivatives, and an overall recalibration of the standardised approach CVA as well as the basic approach CVA.

The final targeted revisions to the framework text are located in the Annex to the paper and will be reflected in the consolidated Basel Framework.

The revised standard comes into effect on 1 January 2023.