HKMA updated the set of questions and answers (Q&A) on the counterparty credit risk framework under the Banking (Capital) Rules. The Q&A provide implementation guidance and are intended to assist authorized deposit-taking institutions in interpreting the Banking (Capital) Rules at a more detailed level in a number of specific areas. The set of published Q&A cover general topics, standardized approach for counterparty credit risk (SA-CCR), internal models method for counterparty credit risk, current exposure method (CEM), securities financing transactions, credit valuation adjustment (CVA) capital charge, and exposures to central counterparties.
The Q&A also cover:
- Latest frequently asked questions published by the Basel Committee on the SA-CCR and the capital requirements for bank exposures to central counterparties
- Questions raised by the industry in previous consultations on the Banking (Capital) (Amendment) Rules 2020
- Updates to reflect the passage of time and the implementation of revised or new Basel capital standards
The set of Q&A has been drafted, as far as possible, in simple non-legal language to facilitate consistent interpretation and application of the capital requirements. The answers are explanatory in nature and are intended to supplement (rather than to seek to replace) any requirements in the Banking (Capital) Rules; they are inevitably general in scope and do not take into account the particular circumstances of individual authorized institutions.
Keywords: Asia Pacific, Hong Kong, Banking, Banking Capital Rules, Counterparty Credit Risk, SA-CCR, Internal Models, CEM, CVA Risk, Credit Risk, Basel, Regulatory Capital, EBA
Previous ArticleEBA Updates Standards for Benchmarking of Internal Approaches
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.