Regulatory Alerts2024-12-20
Added · Updated
Countercyclical Capital Buffer Geographic Allocation of Private Sector Credit Exposures
The Hong Kong Monetary Authority issues this statutory guideline to direct locally incorporated Authorized Institutions on allocating private sector credit exposures to specific jurisdictions for Countercyclical Capital Buffer calculations. The document mandates determining the geographic location of exposures on an ultimate risk basis by identifying the jurisdiction of the ultimate obligor, with fallback rules for cases where immediate counterparty location or booking location must be used. It further specifies detailed methodologies for aggregating risk-weighted amounts across banking and trading books, including special treatments for collective investment schemes, securitizations, and credit risk mitigants.
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