Regulatory Alerts2024-08-13
Added · Updated
Q&As on Market Risk and CVA Risk
The Hong Kong Monetary Authority issued these Q&As to clarify the application of the amended Banking (Capital) Rules regarding market risk and CVA risk classifications. The guidance specifies that funding swaps are presumed trading book instruments unless designated for hedge accounting, while internal transactions generally lack capital recognition except under specific general interest rate risk transfer frameworks. Additionally, the document details book assignment rules for distressed loans, listed real estate investment trusts, structural foreign exchange hedges, and the treatment of onshore versus offshore interest rate exposures.
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