Featured Product

    HKMA Plans to Consult on Revisions to CVA Framework Later This Year

    July 14, 2020

    HKMA announced that the local implementation of the capital requirements based on the new credit valuation adjustment (CVA) framework recently issued by BCBS will be no earlier than January 01, 2023. Its timing will take into account the implementation progress observed in major jurisdictions. HKMA expects to closely follow the BCBS CVA risk framework for the implementation of local standards and plans to issue a consultation paper later this year.

    BCBS has issued the targeted revisions to the CVA risk framework on July 08, 2020. The revised framework replaces an earlier version of the framework originally published as part of the Basel III reform package in December 2017. The revised version includes a set of targeted revisions to the earlier standards. It takes into account extensive feedback received on a consultative document issued by  BCBS in November 2019, which aims to align the relevant parts of the CVA risk framework with the final market risk standards. Key targeted revisions to the CVA risk framework include:

    • Adjustments to certain risk-weights in both the standardized approach and the basic approach to align with the revised market risk framework
    • Introduction of new index buckets and revision of the aggregation formula in the standardized approach, to align with the revised market risk framework
    • Alternations to the scope of the CVA risk framework by excluding some securities financing transactions where the CVA risk stemming from such positions is not material
    • Revision of the overall calibration of the CVA risk framework by reducing the aggregate multiplier in the standardized approach and introducing a similar scalar for the basic approach

    Keywords: Asia Pacific, Hong Kong, Banking, Basel, CVA Risk, Regulatory Capital, Credit Valuation Adjustment, Market Risk, FRTB, HKMA

    Featured Experts
    Related Articles
    News

    BIS Examines Use of Big Data and Machine Learning at Central Banks

    BIS published a paper that provides an overview on the use of big data and machine learning in the central bank community.

    March 04, 2021 WebPage Regulatory News
    News

    APRA Finalizes Reporting Standard for Operational Risk Requirements

    APRA finalized the reporting standard ARS 115.0 on capital adequacy with respect to the standardized measurement approach to operational risk for authorized deposit-taking institutions in Australia.

    March 03, 2021 WebPage Regulatory News
    News

    ECB Publishes Guide for Determining Penalties for Regulatory Breaches

    ECB published a guide that outlines the principles and methods for calculating the penalties for regulatory breaches of prudential requirements by banks.

    March 02, 2021 WebPage Regulatory News
    News

    MAS Sets Out Good Practices to Manage Operational Risks Amid COVID

    MAS and The Association of Banks in Singapore (ABS) jointly issued a paper that sets out good practices for the management of operational and other risks stemming from new work arrangements adopted by financial institutions amid the COVID-19 pandemic.

    March 02, 2021 WebPage Regulatory News
    News

    ACPR Announces New Data Collection Application for Banks and Insurers

    ACPR announced that a new data collection application, called DLPP (Datalake for Prudential), for collecting banking and insurance prudential data will go into production on April 12, 2021.

    March 02, 2021 WebPage Regulatory News
    News

    BCB Maintains CCyB at 0%, Initiates First Cycle of Regulatory Sandbox

    BCB announced that the Financial Stability Committee decided to maintain the countercyclical capital buffer (CCyB) for Brazil at 0%, at least until the end of 2021.

    March 02, 2021 WebPage Regulatory News
    News

    EIOPA Launches Study on Non-Life Underwriting Risk in Internal Models

    EIOPA has launched a European-wide comparative study on non-life underwriting risk in internal models, also kicking-off of the data collection phase.

    March 01, 2021 WebPage Regulatory News
    News

    SRB Publishes Overview of Resolution Tools Available in Banking Union

    SRB published an overview of the resolution tools available in the Banking Union and their impact on a bank’s ability to maintain continuity of access to financial market infrastructure services in resolution.

    March 01, 2021 WebPage Regulatory News
    News

    EBA Consults on Pillar 3 Disclosure Standards for ESG Risks Under CRR

    EBA is consulting on the implementing technical standards for Pillar 3 disclosures on environmental, social, and governance (ESG) risks, as set out in requirements under Article 449a of the Capital Requirements Regulation (CRR).

    March 01, 2021 WebPage Regulatory News
    News

    ESAs Issue Advice on KPIs on Sustainability for Nonfinancial Reporting

    ESAs Issue Advice on KPIs on Sustainability for Nonfinancial Reporting

    March 01, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 6655