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July 03, 2018

HKMA issued a guidance note with the revised version of the Supervisory Policy Manual (SPM) module CR-G-13 on counterparty credit risk (CCR) management for authorized institutions. The module was revised primarily to incorporate the relevant international standards and guidelines. These international guidelines are the principles for effective risk data aggregation and risk reporting by BCBS and the framework for haircuts on non-centrally cleared securities financing transactions by FSB.

Additionally, some of the guidance in the module was updated to ensure consistency with the capital treatments for CCR under the Basel capital framework. The coverage of the SPM module was also expanded to cater for relevant issues arising from credit valuation adjustments and central clearing. The module lays down guidance against which authorized institutions should assess their CCR management systems and devise an action plan to address any gaps identified within a reasonable timeframe, which should be no later than one year from the issue date of the SPM module.

Keywords: Asia Pacific, Hong Kong, Banking, CCR, CCR Management, Module CR-G-13, HKMA

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