Regulatory Alerts2022-07-11
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Annex IIIb-A: Illustrations on Reporting of Recognized Credit Risk Mitigation
The Hong Kong Monetary Authority issued Annex IIIb-A to provide detailed illustrations for reporting recognized credit risk mitigation under the Banking (Capital) Rules. The document demonstrates risk-weighted amount calculations for on-balance sheet loans, off-balance sheet commitments, and collateralized derivatives using both the Simple and Comprehensive Approaches. It specifies the application of risk weights, supervisory haircuts, and conversion factors to determine the final capital requirements for various secured exposure scenarios.
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