1.This Standard articulates specific requirements for the calculation of the risk- weighted assets (RWA) for Credit Valuation Adjustment (CVA) risk for banks in the UAE. It is based closely on requirements of the framework for capital adequacy developed by the Basel Committee on Banking Supervision, specifically the Standardized Approach for CVA as articulated in Basel III: A global regulatory framework for more resilient banks and banking systems, December 2010 (rev June 2011), and subsequent clarifications thereto by the Basel Committee.

2.This Standard covers all derivative transactions except those transacted directly with a central counterparty. In addition, it covers all securities financing transactions (SFTs) that are subject to fair-value accounting, unless the Central Bank concludes that the bank's CVA loss exposures arising from fair-valued SFTs are not material. The CVA capital calculation encompasses a bank's CVA portfolio, which includes the bank's entire portfolio of covered transactions as well as eligible CVA hedges.

3.This Standard formulates capital adequacy requirements that needs to be applied to all banks in UAE on a consolidated basis.