Calculation of RWA for CVA risk

Policies relating to the calculation of risk-weighted assets for Credit Valuation Adjustment (CVA) risk for banks, building societies and investment firms.

PRA Rules

For a list of the Capital Requirements Regulation provisions revoked from UK legislation, and their corresponding PRA rules, refer to this table of corresponding provisions.

UK legislation

UK technical standards

  • Procedures for excluding transactions with non-financial counterparties established in a third country from the own funds requirement for credit valuation adjustment - Commission Delegated Regulation (EU) 2018/728, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019, Annex P
  • Determining proxy spread and limited smaller portfolios for credit valuation adjustment risk - Commission Delegated Regulation (EU) No 526/2014, as amended, including by the Technical Standards (Capital Requirements) (EU Exit) (No.3) Instrument 2019

Supervisory Statements

  • Counterparty Credit Risk (SS12/13)

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This page was last updated 31 January 2023