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    HKMA Publishes Q&A on Counterparty Credit Risk Exposures

    June 03, 2021

    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

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