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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. 78
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