Regulatory Alerts2026-09-10
Added
Capital Adequacy Requirements (CAR) Chapter 8 – Credit Valuation Adjustment (CVA) Risk
This guideline establishes capital requirements for Credit Valuation Adjustment (CVA) risk for banks, banks holding companies, and trust and loan companies, effective November 2026 or January 2027. Institutions must calculate CVA capital requirements using either the Basic Approach (BA-CVA) or the Standardized Approach (SA-CVA), with the BA-CVA as the default unless OSFI approval is granted for the SA-CVA. Institutions with an aggregate notional amount of non-centrally cleared derivatives less than or equal to $150 billion may opt for an alternative treatment setting CVA capital requirements equal to 100% of their counterparty credit risk capital requirement. The document specifies detailed calculation methodologies, including supervisory risk weights, correlation parameters, and eligible hedge criteria for both the reduced and full versions of the BA-CVA.
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