Regulatory Alerts2024-12-13
Added · Updated
Supplementary Guidance on the Revised Credit Risk Framework: Counterparty Credit Risk
The Hong Kong Monetary Authority issues supplementary guidance clarifying the application of Part 6A of the Banking (Capital) Rules to counterparty credit risk, including scope determinations for FX spot contracts and embedded derivatives. The document provides detailed interpretations on calculating default risk exposures under the Standardised Approach for Counterparty Credit Risk, addressing margin periods of risk, collateral treatment, and the classification of derivative contracts. It further specifies regulatory expectations for risk management frameworks, hedging sets, and the calculation of effective notional amounts for complex financial instruments.