The Basel Committee on Banking Supervision finalized its review of the Basel III standard for capital treatment for counterparty credit risk in bilateral trades and plans to modify the risk weighting of credit valuation adjustment (CVA), which is the risk of loss caused by changes in the credit spread of a counterparty due to changes in its credit quality.

The Basel committee was previously concerned that the standardized method for calculating CVA risk under Basel III  was more punitive than the advanced method of calculation, for low-rated counterparties with longer maturity transactions.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.