Regulatory Alerts2018-03-02
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Part IIIf – Risk-weighted Amount for CVA Completion Instructions
Authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(IIIf) to report the 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, including those no longer eligible for the advanced method. The instructions specify calculation methodologies for VaR, stressed VaR, and default risk exposures, including formulas for risk-weighted amounts and rules for recognizing eligible CVA hedges and collateral.
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