2025-12-19

Added 2026-06-20 · Updated 2026-07-10

CVA Risk Capital Charge

The Hong Kong Monetary Authority issued this guidance to specify the capital charge requirements for Counterparty Credit Risk (CCR) under the Standardised Approach. The document outlines the methodology for calculating the CVA risk capital charge, ensuring that authorized institutions hold sufficient capital to cover potential losses from changes in the mark-to-market value of OTC derivatives. This regulation applies to all authorized institutions and aligns with broader market risk capital adequacy standards.

Hong Kong

Hong Kong Monetary Authority

Follow HKMA

Show thumbnailShow full textSourceAdd to collection

Show full text

SPM-SGL

Current

Issue Date:

19 Dec 2025

MR-2.pdf (783.4 KB)

Topic:

Capital Adequacy - Market Risk

Group:

All Authorized Institutions

Directly related Document

Cross referenced Document

Version History

Superseded Document

You may also be interested in

CIR

Archive

11 Aug 1997

Model Recognition for Market Risk Calculation

SPM-SGL

Archive

15 Mar 2024

MR-1 Market Risk Capital Charge

CIR

Current

17 Jan 2019

FRTB: Revised Market Risk Standards