Regulatory Alerts2025-11-27
Added · Updated
Supervisory Policy Manual MR-2: CVA Risk Capital Charge V.2
The Hong Kong Monetary Authority issued this statutory guideline to establish minimum standards for Authorized Institutions to calculate Credit Valuation Adjustment risk capital charges. The document mandates the implementation of the Basel Committee's revised CVA framework, offering reduced or full Basic CVA and Standardised CVA approaches with specific formulas and risk weight tables. It applies to all locally incorporated Authorized Institutions and takes effect on 1 January 2026, covering scope, eligibility criteria for hedges, and detailed calculation methodologies.