Regulatory Alerts2014-12-31
Added · Updated
Implementation Guidance on Banking Capital and Disclosure Rules Annex 2
The Hong Kong Monetary Authority issues this guidance to clarify the calculation of delta-adjusted notional amounts for CVA hedges using CDS swaptions. It further specifies that netting agreements for repo-style and on-balance sheet transactions must meet specific validity criteria under the Banking (Capital) Rules to be recognized in capital adequacy calculations. Additionally, the document confirms that unconditionally cancellable commitments inherently satisfy prior notice requirements and advises institutions to disclose average gross exposures to ensure transparency.
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