Regulatory Alerts2024-12-13
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Supplementary Guidance on the Revised Credit Risk Framework Chapter VI - Securitization
The Hong Kong Monetary Authority issues this supplementary guidance to clarify the application of the Banking (Capital) Rules regarding securitization transactions. It defines eligible securitization criteria, outlines procedures for recognizing credit risk transfer, and details requirements for self-assessment and notification. The document further addresses implicit support, classification of underlying exposures, and capital treatment for credit enhancements and gain-on-sale.
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