This chapter describes disclosure requirements for CVA risk.

Version effective as of 01 Jan 2027

First version in the format of the consolidated framework. Updated to take account of new implementation date as announced on 27 March 2020 and the technical amendments published in November 2023.

Introduction

51.1 The disclosure requirements under this section are:

General information about CVA risk:

(1) Table CVAA - General qualitative disclosure requirements related to CVA

CVA risk under the basic approach (BA-CVA):

(2) Template CVA1 - The reduced basic approach for CVA (BA-CVA)

(3) Template CVA2 - The full basic approach for CVA (BA-CVA)

CVA risk under the standardised approach (SA-CVA):

(4) Table CVAB - Qualitative disclosures for banks using the SA-CVA

(5) Template CVA3 - The standardised approach for CVA (SA-CVA)