Regulatory Alerts2025-12-19
Added · Updated
HKMA Supervisory Policy Manual MR-2: CVA Risk Capital Charge
The Hong Kong Monetary Authority issues this statutory guideline to establish minimum standards for Authorized Institutions calculating Credit Valuation Adjustment risk capital charges. The document mandates the implementation of Basel-aligned frameworks, offering Reduced BA-CVA, Full BA-CVA, and SA-CVA approaches while specifying detailed formulas, risk weights, and hedge eligibility criteria. It also introduces specific provisions for cryptoasset exposures and sets a January 2026 effective date for these revised capital requirements.
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