RBI06 Aug 2026press-releasePrepared by Complied AI

Draft Directions on Credit Valuation Adjustment Framework

Official title

RBI invites public comments on the draft Directions on ‘Credit Valuation Adjustment (CVA) Framework’

Official record

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What changed

The Reserve Bank of India has released draft Directions on the Credit Valuation Adjustment (CVA) Framework to align with revised Basel III standards. The framework mandates that banks hold capital against CVA risk, which arises from potential counterparty defaults in derivative transactions. The proposed revisions allow banks to adopt the Basic Approach (BA-CVA), offering both full and reduced versions, or to calculate CVA capital charges as 100 percent of their counterparty credit risk capital charge if they have insignificant volumes of non-centrally cleared derivatives. The draft also clarifies hedge recognition, adjusts risk weights based on sector and credit quality, and separates systematic and idiosyncratic risk components. Interested parties are invited to submit feedback by August 28, 2026.

Who is affected: Commercial banks operating in India
Required action: Submit comments or feedback on the draft Directions to the Reserve Bank of India.
Key dates: Deadline for submission of public comments — 27 Aug 2026
Thresholds: Banks with an insignificant volume of non-centrally cleared derivatives may calculate their CVA capital charge as 100 per cent of their counterparty credit risk (CCR) capital charge.

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Source details

Source: Reserve Bank of India
Type: press-release
Published by source: 06 Aug 2026
Document number: 2026-2027/836
Issuing division: Department of Regulation
Coverage area: banking

Document text

Prepared for reading; wording retained from the source.

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August 7, 2026

RBI invites public comments on the draft Directions on ‘Credit Valuation Adjustment (CVA) Framework’

Credit Valuation Adjustment (CVA) reflects the adjustment to the default risk-free prices of derivatives to account for potential counterparty default. CVA risk refers to losses resulting from changes in CVA values, driven by shifts in counterparty credit spreads and market risk factors. The CVA capital charge ensures banks hold sufficient capital to cover these risks.

The extant CVA framework was issued by the Reserve Bank in 2011, which was based on the Basel Committee on Banking Supervision (BCBS) standards issued in
The BCBS has, since, issued revised CVA guidelines under the final Basel III framework. Accordingly, it has been decided to issue revised instructions on CVA framework permitting banks in India to adopt the basic approach (BA-CVA). Banks may choose to implement either the full or reduced version of BA-CVA. Alternatively, in line with BCBS guidelines, banks with an insignificant volume of non-centrally cleared derivatives may calculate their CVA capital charge as 100 per cent of their counterparty credit risk (CCR) capital charge.
The revised instructions: (a) allow eligible banks to choose a simpler approach; (b) clarify the eligibility and recognition of CVA hedges; (c) increase the sensitivity of supervisory risk weights for counterparties by sector and credit quality; and (d) separate systematic and idiosyncratic CVA risk components in the full BA-CVA calculation, addressing imperfect alignment of indirect CVA hedges. These revisions enhance risk sensitivity and improve consistency in the CVA framework.
Accordingly, the Reserve Bank has released today the Reserve Bank of India (Commercial Banks – Credit Valuation Adjustment Framework) Directions, 2026.
The comments on the draft Directions are invited from Regulated Entities, market participants, and other interested parties till August 28, 2026. The comments / feedback may be submitted through the link under the ‘Connect 2 Regulate’ Section available on the Reserve Bank’s website or may alternatively be forwarded to

The Chief General Manager Market Risk Group Department of Regulation, Central Office Reserve Bank of India, 12th Floor Shahid Bhagat Singh Marg Fort, Mumbai – 400 001

by email

With the subject line ‘Feedback on Credit Valuation Adjustment (CVA) Framework’

(Brij Raj) Press Release: 2026-2027/836 Chief General Manager

ᮧेस ᮧकाशनी PRESS RELEASE

भारतीय ᳯरज़वर् बᱹक

RESERVE BANK OF INDIA

वेबसाइट : www.rbi.org.in/hindi संचार िवभाग, कᱶᮤीय कायार्लय, शहीद भगत ᳲसंह मागर्, फोटर्, मुंबई - 400 001 Website : www.rbi.org.in Department of Communication, Central Office, Shahid Bhagat Singh Marg, Fort, ई-मेल/email : helpdoc@rbi.org.in Mumbai - 400 001 फोन/Phone: 022 - 2266 0502

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