BCBS D507

From Open Risk Manual

Definition

BCBS D507 is a document published by the Basel Committee on Banking Supervision on July 2020 in the Market Risk category.

Title

Targeted revisions to the credit valuation adjustment risk framework.

Abstract

The credit valuation adjustment (CVA) risk framework replaces an earlier version of the standard as published in December 2017.

This final standard incorporates changes proposed in the November 2019 consultative document and has 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 revised standard comes into effect on 1 January 2023.

Document Profile

  • Publication Date: July 2020
  • Publication Type: Standards
  • Publication Status: Consolidated
  • Publication Category: Market Risk
  • Number of Pages: 31
  • Keywords: Market Risk

See Also

Disclaimers

For definitive information on regulatory matters always consult primary sources, especially where it concerns legally binding rules and regulations.

The above regulatory document abstract is quoted verbatim in this Open Risk Manual entry and provided free of charge for the convenience of all internet users. There is no explicit or implicit endorsement of this web service by the Bank of International Settlements. The copyright of the included material rests with the original authors (Links to the original texts are duly provided).