Regulatory Alerts2013-09-04
Added · Updated
Basel III Implementation FAQs: Capital Treatment of Exposures to Counterparty Credit Risk and Central Counterparties
The Hong Kong Monetary Authority issues these FAQs to clarify capital treatment requirements for Authorized Institutions regarding counterparty credit risk and central counterparties under Basel III. The guidance details specific methodologies for calculating current exposures, stressed effective expected positive exposure, and credit valuation adjustment capital charges using both advanced and standardized approaches. It further establishes rules for eligible CVA hedges, collateral allocation, and the determination of qualifying CCP status to ensure prudent risk management and regulatory compliance.
More like this from HKMA
HKMA published 11 documents in the last 30 days. We email you each new one the day it's published.
Topics
Share