Regulatory Alerts2023-05-08
Added · Updated
Capital Treatment of Participating Margins for Swap Connect
The Hong Kong Monetary Authority establishes that participating margins posted by authorized institutions for Swap Connect are treated as default fund contributions under the Banking Capital Rules. It mandates specific capital charge calculations for both standard default fund contributions and Swap Connect-specific participating margins using Formula 23K of the Banking Capital Rules. Additionally, the document outlines reporting arrangements for these exposures in the Capital Adequacy Ratio return and notes potential amendments to risk-weighting requirements for exposures to the Shanghai Clearing House.
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