Q&As on Market Risk and CVA Risk

55th Floor, Two International Finance Centre, 香 港 中 環 金 融 街 8 號 國 際 金 融 中 心 2 期 55 樓 8 Finance Street, Central, Hong Kong 網 址：www.hkma.gov.hk Website: www.hkma.gov.hk Banking Policy Department Our Ref: S4/2C, S4/3C, B1/15C 13 August 2024 By email and by post The Chief Executive All Locally Incorporated Authorized Institutions Dear Sir/Madam, Q&As on Market Risk and CVA Risk The HKMA is issuing the enclosed Questions and Answers (“Q&As”) on the revised market risk and CVA risk capital frameworks under the Banking (Capital) Rules (“BCR”) as amended by the Banking (Capital) (Amendment) Rules 2023 (“BCAR”). These Q&As were written in simple and non-legal language to facilitate consistent interpretation and application of the amended Part 8 or Part 8A of the BCR. The reading of the Q&As is no substitute for the reading of the BCR themselves or for obtaining, where necessary, legal and other professional advice on particular aspects of the BCR. As necessary, updates and additions will be made in the future as appropriate to address common interpretative issues as they arise, or to incorporate further guidance issued by the Basel Committee. AIs are also welcome to submit any questions to the HKMA should there be areas where they wish to seek further clarification. Yours faithfully, Donald Chen Executive Director (Banking Policy) Encl cc: The Chairperson, The Hong Kong Association of Banks The Chairperson, The DTC Association FSTB (Attn: Mr Justin To)