On February 25, ISDA, the Global Financial Markets Association (GFMA) and the Institute of International Finance (IIF) submitted a joint comment letter to the Basel Committee on Banking and Supervision (BCBS) on their final revisions to the credit valuation adjustment (CVA) risk framework. Targeted revisions such as the adjustment of the CVA multiplier, changes to risk weights, the aggregation formula, and the reconsideration of the scope of application to exclude immaterial security finance transactions are significant improvements over the 2017 CVA risk framework. The Associations support the introduction of a scalar for the appropriate calibration of BA-CVA, but believe that further revisions are needed to address design and calibration issues that still exist in the framework and to better reflect the underlying economic risks and incentivize prudent hedging of CVA risk
The letter outlines why CVA is important and summarizes the results of a quantitative impact study conducted by the associations with input from 25 global banks with large trading book activities. Given the potential impact of the proposed CVA framework, the Associations respectfully urge the BCBS to consider and act upon the further revisions highlighted in our key recommendations to avoid any unintended consequences while still achieving the BCBS’s regulatory objectives.
Documents (1) for ISDA/ GFMA/ IIF Response to BCBS Consultation on CVA
Latest
ISDA In Review – August 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in August 2025.
Episode 51: Trading Places
Markets have been volatile so far this year, but what has this meant for market liquidity? The Swap talks to Chris Edmonds from Intercontinental Exchange on trading activity and the market, economic and geopolitical outlook. Please view this page via...
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.