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

    EC Publishes Regulations Supplementing Investment Firms Directive

    The European Commission (EC) published three Delegated Regulations (2021/2153, 2021/2154, and 2021/2155) to supplement the Investment Firms Directive (IFD or Directive 2019/2034).

    December 07, 2021 WebPage Regulatory News
    News

    FSB Report Examines Trends in Non-Bank Intermediation in Americas

    The Financial Stability Board (FSB) published a report that presents results of the sixth non-bank financial intermediation monitoring exercise in the Americas.

    December 06, 2021 WebPage Regulatory News
    News

    BIS Discusses Regulatory Approach for Non-Bank Intermediation

    The Bank for International Settlements (BIS) published the December issue of the Quarterly Review, which analyzes the non-bank financial intermediation mechanisms that could undermine financial stability.

    December 06, 2021 WebPage Regulatory News
    News

    BoE Calls for Vendor Input for Data Collection Transformation Program

    The Bank of England (BoE) opened the Alternative Liquidity Facility, or ALF, for deposits from the participating UK-based Islamic banks for the first time.

    December 03, 2021 WebPage Regulatory News
    News

    APRA Sets LAC for D-SIBs, Proposes to Enhance Crisis Preparedness

    APRA issued a letter on the loss-absorbing capacity (LAC) requirements for domestic systemically important banks (D-SIBs) and published a discussion paper, along with the proposed the prudential standards on financial contingency planning (CPS 190) and resolution planning (CPS 900).

    December 02, 2021 WebPage Regulatory News
    News

    EBA Proposes Standards on Interest Rate Risk in the Banking Book

    The European Banking Authority (EBA) launched three consultations on technical aspects of the revised framework capturing interest rate risks for banking book (IRRBB) positions, with the comment period ending on April 04, 2022.

    December 02, 2021 WebPage Regulatory News
    News

    EC to Review Macro-Prudential Rules while ESRB Assesses Policy Stance

    The European Commission (EC) launched a call for evidence, until March 18, 2022, as part of a comprehensive review of the macro-prudential rules for the banking sector under the Capital Requirements Regulation (CRR) and Directive (CRD IV).

    December 01, 2021 WebPage Regulatory News
    News

    EBA Sets Out List of Banks for Mandatory Basel III Monitoring Exercise

    The European Banking Authority (EBA) published the sample of banks for the mandatory Basel III monitoring exercise, which will refer to the December 2021 data.

    December 01, 2021 WebPage Regulatory News
    News

    FED Revises Complex Institution Liquidity Monitoring Report for Banks

    The Board of Governors of the Federal Reserve System (FED) is adopting a proposal to revise and extend for three years the Complex Institution Liquidity Monitoring Report (FR 2052a) for banks.

    December 01, 2021 WebPage Regulatory News
    News

    FSB Sets Out Good Practices for Crisis Management Groups

    The Financial Stability Board (FSB) published a report that sets out good practices for crisis management groups.

    November 30, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 7758