Regulatory Alerts2014-11-04
Review of the Credit Valuation Adjustment (CVA) Risk Framework
The Saudi Arabian Monetary Agency (SAMA) issued a consultative paper proposing an updated Credit Valuation Adjustment (CVA) risk framework that integrates market risk exposure and associated hedges into regulatory capital requirements. The proposal establishes three implementation pathways—an internal models approach, a standardized approach, and a basic approach—ensuring alignment with Basel III capital standards, fair value accounting, and the Fundamental Review of the Trading Book (FRTB). All licensed banks are required to evaluate the Basel Committee on Banking Supervision's source document and submit their feedback to SAMA by 6 September 2015.
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