Regulatory Alerts2022-07-11
Added · Updated
Completion Instructions for Revised Return of Capital Adequacy Ratio Form MA(BS)3 Part IIIf
Authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(IIIf) to report the Credit Valuation Adjustment (CVA) capital charge for derivative contracts and securities financing transactions booked in their banking and trading books. Institutions eligible to use the advanced CVA method must complete Division A, while those required to use the standardized CVA method must complete Division B. The instructions specify calculation methodologies, including the use of Value at Risk (VaR) and stressed VaR with a minimum multiplication factor of 3 for the advanced method, and the aggregation of default risk exposures and eligible hedges for the standardized method. Reporting entities must exclude ineligible hedges and ensure expected exposures are not adjusted for credit risk mitigation effects to avoid double-counting.
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