Investor Presentaiton
MORGAN STANLEY BANK ASIA LIMITED
UNAUDITED SUPPLEMENTARY FINANCIAL INFORMATION
Year ended 31 December 2020
H. PILLAR 3 DISCLOSURE (CONTINUED)
Template PV1: Prudent valuation adjustments
The following table shows the detailed breakdown of the constituent elements of prudent valuation
adjustments, for assets measured at fair value.
Foreign
Equity
Interest
rates
Exchange Credit Commodities Total
("FX")
Of which:
In the
trading
book
Of which:
In the
banking
book
As at
US$'000 US$'000 US$'000 US$'000 US$'000
US$'000
US$'000
31 December 2020
1
Close-out uncertainty,
134
15
149
149
of which:
2
Mid-market value
113
113
113
3
Close-out costs
21
15
36
36
4
Concentration
5
Early termination
6
Model risk
-
7
Operational risks
9
1
10
10
8
Investing and funding
costs
9
Unearned credit spreads
10
Future administrative
costs
11
Other adjustments (¹)
12
Total adjustments
(88)
55
(10)
6
(98)
61
(98)
61
Note 1: For other adjustments, it refers to the diversification benefits from mid-market value and close-out costs, resulting in
reduction in valuation adjustment required.
The highest amount of valuation adjustments are attributable to the interest rate products measured at fair
value, mainly government debt securities.
For rows that are not applicable, there are immaterial risks and financial impacts from those elements of
valuation adjustments regarding to the Company's financial assets.
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