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. 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) calculation, addressing imperfect alignment of indirect CVA hedges. 3. 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 . 4. Accordingly, the Reserve Bank has today released the Reserve Bank of India (Commercial Banks – Credit Valuation Adjustment Framework) Directions, 2026 . 5. These instructions will come into effect from April 1, 2027. (Brij Ra
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