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III. Requirements

C 52/2017 STA Effective from 1/12/2022

Banks are required to calculate RWA for CVA as a multiple of capital for CVA risk calculated as specified in these Standards. The calculation relies on regulatory measures of counterparty credit risk exposure, and recognizes the impact of differences in maturity, as well as adjustments to reflect certain common hedging activities that banks use to manage CVA risk. The relevant requirements are described in this Standard.