Regulatory Alerts2020-07-14
Added · Updated
Revised BCBS Credit Valuation Adjustment (CVA) Risk Framework
The Hong Kong Monetary Authority informs locally incorporated authorized institutions of the Basel Committee on Banking Supervision's targeted revisions to the CVA risk framework. These revisions align the framework with final market risk standards through adjustments to risk weights, new index buckets, scope exclusions for certain securities financing transactions, and reduced calibration multipliers. The HKMA plans to issue a consultation paper later in 2020 and intends to implement the new capital requirements no earlier than 1 January 2023.
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