Reserve Bank of India (Commercial Banks – Credit Valuation Adjustment Framework) Directions, 2026 · 2026-2027/1271
RBI press-release 2026-2027/1271 · 07 Oct 2026
Official title
RBI issues Directions on 'Credit Valuation Adjustment (CVA) Framework’
RBI press-release 2026-2027/1271 · 07 Oct 2026
Official title
RBI issues Directions on 'Credit Valuation Adjustment (CVA) Framework’
Summary
Check the official recordThe Reserve Bank of India issues the Credit Valuation Adjustment (CVA) Framework for commercial banks. This framework modifies instructions on capital charge for CVA risk. Eligible banks may choose a simpler approach. The framework increases the sensitivity of supervisory risk weights for counterparties. It clarifies the eligibility and recognition of CVA hedges. It also separates systematic and idiosyncratic CVA risk components in the Basic Approach calculation. These instructions apply to commercial banks. The framework takes effect on April 1, 2027.
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Key dates
Who is affected
October 07, 2026
RBI issues Directions on 'Credit Valuation Adjustment (CVA) Framework’
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.
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) calculation, addressing imperfect alignment of indirect CVA hedges.
Feedback received on the draft instructions has been examined and consequent modifications have been suitably incorporated in the final Directions. Statement on the feedback received on the draft instructions is provided in the Annex.
Accordingly, the Reserve Bank has today released the Reserve Bank of India (Commercial Banks – Credit Valuation Adjustment Framework) Directions, 2026.
These instructions will come into effect from April 1, 2027.
(Brij Raj)
Chief General Manager
Press Release: 2026-2027/1271
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