Regulatory Alerts2020-11-30
Added · Updated
Capital treatment of securitisations of non-performing loans
The Hong Kong Monetary Authority implements the Basel Committee on Banking Supervision's technical amendment regarding the capital treatment of non-performing loan securitisations. The regulation mandates a minimum risk weight of 100% for senior tranches and prohibits the use of foundation IRB parameters for risk weight calculations. Authorized institutions are advised to prepare for implementation alongside the Basel III final reform package scheduled for 1 January 2023.