The Reserve Bank of India (RBI) on October 07, 2026, issued a notification regarding finalisation of the Credit Valuation Adjustment (CVA) Framework.
The following has been stated: -
•The RBI has issued the Reserve Bank of India (Commercial Banks – Credit Valuation Adjustment Framework) Directions, 2026, following stakeholder feedback on the draft Directions issued on August 07, 2026.
•The revised framework allows eligible banks to adopt a simpler approach and enhances the sensitivity of supervisory risk weights based on sector and credit quality.
•It also clarifies the recognition of CVA hedges and separates systematic and idiosyncratic CVA risk components under the full BA-CVA approach.
•The Directions shall come into effect from April 01, 2027.
The detailed notification is given in the document below.
[Notification No.: 2026-2027/1271]
