Regulatory Alerts2023-05-08
Added · Updated
Capital Adequacy - CCR: Capital Treatment of Participating Margins for Swap Connect
The Hong Kong Monetary Authority issued this directive to define the regulatory capital and reporting treatments for participating margins posted by authorized institutions under the Swap Connect arrangement. It requires that such margins be treated identically to default fund contributions under the Banking (Capital) Rules, necessitating the calculation of a separate capital charge using Formula 23K. Furthermore, authorized institutions must report the posted margin amounts and their associated capital charges in the Capital Adequacy Ratio return using the same format applied to qualifying central counterparties.
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