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CVA risk is the exposure to changes in counterparty credit spreads and other market risk factors. It is typically incurred by banks that undertake derivative or securities financing transactions, which run the risk of mark-to-market losses if the creditworthiness of the counterparties deteriorates. CVA risk is complementary to the risk of a counterparty's default, which is known as counterparty credit risk.
The Committee is also considering adjusting the scope of portfolios subject to CVA risk capital requirements and also seeks feedback on a possible calibration adjustment of the overall capital requirements calculated under the CVA standardised and basic approaches.
The required implementation date of the revised CVA risk framework continues to be 1 January 2022.
The Committee welcomes comments on the consultative document by 25 February 2020.