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
In a letter addressed to the industry, the Australian Prudential Regulation Authority (APRA) set out an updated schedule of policy priorities for the banking, insurance, and superannuation industries.
The European Banking Authority (EBA) published answers to 29 questions in the Single Rulebook Question and Answer (Q&A) tool in September.
The European Commission (EC) adopted a comprehensive review package of Solvency II rules in the European Union.
The Office of the Comptroller of the Currency (OCC) issued Versions 1.0 of the "Earnings" and "Regulatory Reporting" booklets of the Comptroller's Handbook.
The European Central Bank (ECB) published results of its economy-wide climate stress test, which aimed to assess the resilience of non-financial corporates and euro area banks to climate risks.
The European Banking Authority (EBA) published a report on the use of digital platforms in the banking and payments sector in European Union.
The Hong Kong Monetary Authority (HKMA) published updates on the policy measures that were announced in context of the ongoing pandemic.
The International Swaps and Derivatives Association (ISDA), along with several other associations, submitted a joint response to the Basel Committee on Banking Supervision (BCBS) consultation on preliminary proposals for the prudential treatment of cryptoasset exposures.
BIS published the September issue of the Quarterly Review, which contains special features that analyze the rapid rise in equity funding for financial technology firms, the effectiveness of policy measures in response to pandemic, and the evolution of international banking.
The Basel Committee for Banking Supervision (BCBS) met in September 2021 and reviewed climate-related financial risks, discussed impact of digitalization, and welcomed efforts by the International Financial Reporting Standards (IFRS) Foundation to develop a common set of sustainability reporting standards