Investor Presentaiton
MORGAN STANLEY BANK ASIA LIMITED
UNAUDITED SUPPLEMENTARY FINANCIAL INFORMATION
Year ended 31 December 2020
H. PILLAR 3 DISCLOSURE (CONTINUED)
Template OV1: Overview of RWA
RWA
As at
As at
31 December
2020
USD'000
30 September
Minimum
capital
requirements
As at
31 December
2020
USD'000
2020
USD'000
1,253,630
1,253,630
1,436,165
1,436,165
100,290
100,290
1
Credit risk for non-securitization exposures
2
Of which Standardised (Credit Risk) Approach ("STC approach")
2a
Of which Basic Approach ("BSC approach")
3
Of which foundation Internal Ratings-Based ("IRB") Approach
4
Of which supervisory slotting criteria approach
5
Of which advanced IRB approach
6
Counterparty default risk and default fund contributions
3,814
2,043
305
7
Of which Standardised Approach for measuring Counterparty Credit Risk
("SA-CCR")
Not applicable
7a
Of which Current Exposure Method ("CEM")
1,565
2,043
125
Of which Internal Models (Counterparty Credit Risk)
8
Approach ("IMM(CCR) approach")
9
Of which others
2,249
180
10
Credit Valuation Adjustment ("CVA") risk
711
929
57
11
Equity positions in banking book under the simple risk-weight method and
internal models method
12
Collective investment scheme ("CIS") exposures - Look-Through Approach
("LTA")
13
CIS exposures - Mandate-Based Approach ("MBA")
14
CIS exposures-Fall-Back Approach ("FBA")
14a
CIS exposures - combination of approaches
Not applicable
Not applicable
Not applicable
Not applicable
15
16
67
Settlement risk
Securitization exposures in banking book
Of which Securitization Internal Ratings-Based Approach ("SEC-IRBA")
Of which Securitization External Ratings-Based Approach ("SEC-ERBA")
(including Internal Assessment Approach ("IAA"))
Of which Securitization Fall-Back Approach ("SEC-FBA")
17
18
19
Of which Securitization Standardised Approach ("SEC-SA")
19a
20
Market risk
21
Of which Standardised (Market Risk) Approach ("STM approach")
22
Of which Internal Models Approach ("IMM approach")
23
24
Capital charge for switch between exposures in trading book and banking book
(not applicable before the revised market risk framework takes effect)
Operational risk
Not applicable
717,045
678,050
57,364
24a
Sovereign concentration risk
25
Amounts below the thresholds for deduction (subject to 250% Risk-Weight
("RW"))
26
Capital floor adjustment
26a
Deduction to RWA
26b
Of which portion of regulatory reserve for general banking risks and
collective provisions which is not included in Tier 2 Capital
1,473
1,473
118
118
26c
27
Total
Of which portion of cumulative fair value gains arising from the
revaluation of land and buildings which is not included in Tier 2 Capital
1,973,727
2,117,187
157,898
The disclosure on minimum capital requirement is made by multiplying the Company's RWA derived
from the relevant calculation approach by 8%, not the Company's actual "regulatory capital".
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