Hong Kong Regulations Hong Kong Regulations
- CHAPTER 155L
TABLE OF PROVISIONS
Long Title
1. (Omitted as spent)
2. Interpretation
3. Calculation of capital adequacy ratio
4. Interpretation of Part 2
5. Authorized institution shall only use STC approach, BSC approach or
IRB approach to calculate its credit risk for non-securitization
exposures
6. Authorized institution may apply for approval to use BSC approach to
calculate its credit risk for non-securitization exposures
7. Minimum requirements to be satisfied for approval under section
6(2)(a) to use BSC approach
8. Authorized institution may apply for approval to use IRB approach to
calculate its credit risk for non-securitization exposures
9. Circumstances in which Monetary Authority shall take into account
assessment outside Hong Kong of rating system used by authorized
institution
10. Measures which may be taken by Monetary Authority if authorized
institution using BSC approach or IRB approach no longer satisfies
specified requirements
11. Minimum IRB coverage ratio
12. Exemption for exposures
13. Revocation of exemption under section 12
14. Transitional arrangements
15. Authorized institution shall only use STC(S) approach or IRB(S)
approach to calculate its credit risk for securitization exposures
16. Authorized institution using IRB(S) approach shall use ratings-based
method or supervisory formula method to calculate its credit risk
for securitization exposures
17. Authorized institution shall only use STM approach, IMM approach or
approach used by parent bank to calculate its market risk
18. Authorized institution may apply for approval to use IMM approach to
calculate its market risk
19. Measures which may be taken by Monetary Authority if authorized
institution using IMM approach no longer satisfies specified
requirements
20. Authorized institution may apply for approval to use approach used
by parent bank to calculate its market risk
21. Measures which may be taken by Monetary Authority if authorized
institution using approach used by parent bank no longer satisfies
specified requirements
22. Exemption from section 17
23. Revocation of exemption under section 22
24. Authorized institution shall only use BIA approach, STO approach or
ASA approach to calculate its operational risk
25. Authorized institution may apply for approval to use STO approach or
ASA approach to calculate its operational risk
26. Measures which may be taken by Monetary Authority if authorized
institution using STO approach or ASA approach no longer satisfies
specified requirements
27. Authorized institution shall calculate its capital adequacy ratio on
solo basis, solo-consolidated basis or consolidated basis
28. Authorized institution may apply for approval to calculate its
capital adequacy ratio on solo-consolidated basis
29. Solo basis for calculation of capital adequacy ratio
30. Solo-consolidated basis for calculation of capital adequacy ratio
32. Provisions supplementary to section 31
33. Exceptions to section 27
35. Interpretation of Part 3
37. Essential characteristics of core capital and supplementary capital
38. Core capital of authorized institution
39. Provisions supplementary to section 38(d)
40. Provisions supplementary to section 38(e)
41. Provisions supplementary to section 38(f)
42. Supplementary capital of authorized institution
43. Provisions supplementary to section 42(1)(a)
44. Provisions supplementary to section 42(1)(b)
45. Provisions supplementary to section 42(1)(d)
46. Provisions supplementary to section 42(1)(g) and (h)
47. Provisions supplementary to section 42(1)(i)
48. Deductions from core capital and supplementary capital
49. Provisions supplementary to section 48(2)
50. Application of Part 4
51. Interpretation of Part 4
52. Calculation of risk-weighted amount of exposures
53. On-balance sheet exposures and off-balance sheet exposures to be
covered
54. Classification of exposures
55. Sovereign exposures
56. Exceptions to section 55
57. Public sector entity exposures
58. Multilateral development bank exposures
59. Bank exposures
60. Securities firm exposures
61. Corporate exposures
62. Collective investment scheme exposures
63. Cash items
64. Regulatory retail exposures
65. Residential mortgage loans
66. Other exposures which are not past due exposures
67. Past due exposures
68. Credit-linked notes
69. Application of ECAI ratings
71. Off-balance sheet exposures
73. Calculation of credit equivalent amount of other off-balance sheet
exposures not specified in Table 10 or 11
74. Determination of risk-weights applicable to off-balance sheet exposures
75. Calculation of risk-weighted amount of exposures in respect of
repo-style transactions booked in banking book
76. Calculation of risk-weighted amount of exposures in respect of
repo-style transactions booked in trading book
77. Recognized collateral
78. Approaches to use of recognized collateral
79. Collateral which may be recognized for purposes of section 77(i)(i)
80. Collateral which may be recognized for purposes of section 77(i)(ii)
81. Calculation of risk-weighted amount of exposures taking into account
credit risk mitigation effect of recognized collateral under simple
approach
82. Determination of risk-weight to be allocated to recognized collateral
under simple approach
83. Calculation of risk-weighted amount of on-balance sheet exposures
84. Calculation of risk-weighted amount of off-balance sheet exposures
other than OTC derivative transactions
85. Calculation of risk-weighted amount of OTC derivative transactions
86. Calculation of risk-weighted amount of exposures taking into account
credit risk mitigation effect of recognized collateral under
comprehensive approach
87. Calculation of net credit exposure of on-balance sheet exposures
88. Calculation of net credit exposure of off-balance sheet exposures
other than credit derivative contracts booked in trading book or OTC
derivative transactions
89. Calculation of net credit exposure of credit derivative contracts
booked in trading book and OTC derivative transactions
90. Haircuts
91. Minimum holding periods
92. Adjustment of standard supervisory haircuts in certain circumstances
93. Calculation of risk-weighted amount of collateralized transactions
under comprehensive approach
94. On-balance sheet netting
95. Netting of OTC derivative transactions and netting of credit
derivative contracts booked in trading book
96. Netting of repo-style transactions
98. Recognized guarantees
99. Recognized credit derivative contracts
100. Capital treatment of recognized guarantees and recognized credit
derivative contracts
101. Provisions supplementary to section 100
102. Multiple recognized credit risk mitigation
103. Maturity mismatches
104. Application of Part 5
105. Interpretation of Part 5
106. Calculation of risk-weighted amount of exposures
107. On-balance sheet exposures and off-balance sheet exposures to be
covered
108. Classification of exposures
109. Sovereign exposures
110. Exceptions to section 109
112. Multilateral development bank exposures
113. Bank exposures
114. Cash items
115. Residential mortgage loans
116. Other exposures
117. Credit-linked notes
118. Off-balance sheet exposures
119. Provisions supplementary to section 118
120. Calculation of credit equivalent amount of other off-balance sheet
exposures not specified in Table 14 or 15
121. Determination of risk-weights applicable to off-balance sheet exposures
122. Calculation of risk-weighted amount of exposures in respect of
repo-style transactions booked in banking book
123. Calculation of risk-weighted amount of exposures in respect of
repo-style transactions booked in trading book
124. Recognized collateral
125. Collateral which may be recognized for purposes of section 124(h)
126. Calculation of risk-weighted amount of exposures taking into account
credit risk mitigation effect of recognized collateral
127. Calculation of risk-weighted amount of on-balance sheet exposures
128. Calculation of risk-weighted amount of off-balance sheet exposures
other than OTC derivative transactions
129. Calculation of risk-weighted amount of OTC derivative transactions
130. On-balance sheet netting
131. Netting of OTC derivative transactions and netting of credit
derivative contracts booked in trading book
132. Recognized guarantees
134. Capital treatment of recognized guarantees and recognized credit
derivative contracts
135. Provisions supplementary to section 134
136. Multiple recognized credit risk mitigation
137. Maturity mismatches
138. Application of Part 6
139. Interpretation of Part 6
140. Calculation of risk-weighted amount of exposures
141. Exposures to be covered
142. Classification of exposures
143. Corporate exposures
144. Retail exposures
145. Equity exposures
146. Other exposures
147. IRB calculation approaches
148. General requirements for estimation of probability of default, loss
given default and exposure at default
149. Default of obligor
150. Rating dimensions
151. Rating structure
152. Rating criteria
153. Rating assignment horizon
154. Rating coverage
155. Integrity of rating process
156. Calculation of risk-weighted amount of corporate, sovereign and bank
exposures
157. Provisions supplementary to section 156(2) and (5)—firm-size
adjustments for small-and-medium sized corporates
158. Provisions supplementary to section 156—risk-weights for specialized
lending
159. Probability of default
160. Loss given default under foundation IRB approach
161. Loss given default under advanced IRB approach
162. Loss given default under double default framework
165. Exposure at default under foundation IRB approach or advanced IRB
approach—OTC derivative transactions and credit derivative contracts
166. Exposure at default under foundation IRB approach or advanced IRB
approach— other off-balance sheet exposures not specified in Table
11 or 20
167. Maturity under foundation IRB approach
168. Maturity under advanced IRB approach
169. Maturity under double default framework
170. Rating dimensions
171. Rating structure
172. Rating criteria
173. Rating assignment horizon
174. Rating coverage
175. Integrity of rating process
176. Calculation of risk-weighted amount of retail exposures
177. Probability of default
178. Loss given default
179. Exposure at default—on-balance sheet exposures
180. Exposure at default—off-balance sheet exposures other than OTC
derivative transactions and credit derivative contracts
181. Exposure at default—OTC derivative transactions and credit derivative
contracts
182. Exposure at default—other off-balance sheet exposures not specified
in Table 11 or 20
183. Equity exposures—general
184. Market-based approach
185. Simple risk-weight method
186. Internal models method
187. PD/LGD approach
188. PD/LGD approach—rating dimensions
189. PD/LGD approach—rating structure
190. PD/LGD approach—rating criteria
191. PD/LGD approach—rating assignment horizon
192. PD/LGD approach—rating coverage
193. PD/LGD approach—integrity of rating process
194. PD/LGD approach—calculation of risk-weighted amount of equity
exposures
195. Cash items
196. Other items
197. Purchased receivables
198. Calculation of risk-weighted amount for default risk in respect of
purchased receivables
199. Calculation of risk-weighted amount for dilution risk in respect of
purchased receivables
200. Requirements for authorized institution using top-down approach to
estimate probability of default, etc. of purchased receivables for
default risk or dilution risk
201. Leasing arrangements
202. Repo-style transactions
204. Recognized collateral
205. Recognized financial receivables
206. Recognized commercial real estate and recognized residential real
estate
207. Other recognized IRB collateral
208. Leased assets may be recognized as collateral
209. Recognized netting
210. Recognized guarantees and recognized credit derivative contracts
211. Recognized guarantees and recognized credit derivative contracts under
substitution framework for corporate, sovereign and bank exposures
under foundation IRB approach and for equity exposures under PD/LGD
approach
212. Recognized guarantees and recognized credit derivative contracts under
substitution framework for corporate, sovereign and bank exposures
under advanced IRB approach and for retail exposures under retail
IRB approach
213. Recognized guarantees and recognized credit derivative contracts under
double default framework
214. Capital treatment of recognized guarantees and recognized credit
derivative contracts
215. Provisions supplementary to section 214(1)—substitution framework
(general)
216. Provisions supplementary to section 214(1)—substitution framework for
corporate, sovereign and bank exposures under foundation IRB approach
and for equity exposures under PD/LGD approach
217. Provisions supplementary to section 214(1)—substitution framework for
corporate, sovereign and bank exposures under advanced IRB approach
and for retail exposures under retail IRB approach
218. Provisions supplementary to section 214(2)—double default framework
219. Capital treatment of recognized guarantees and recognized credit
derivative contracts in respect of purchased receivables
220. Calculation of expected losses and eligible provisions for corporate,
sovereign, bank and retail exposures
221. Determination of eligible provisions for calculation of total eligible
provisions
222. Equity exposures—market-based approach
223. Equity exposures—PD/LGD approach
224. Application of scaling factor
225. Application of Division 13
226. Calculation of capital floor
227. Interpretation of Part 7
228. Application of Division 2
229. Treatment to be accorded to securitization transaction by originating
institution
230. Measures which may be taken by Monetary Authority if originating
institution provides implicit support
231. Use of external credit assessments for determination of risk-weights
232. Provisions applicable to ECAI issue specific ratings in addition to
those applicable under Part 4
233. Application of Division 3
234. Calculation of risk-weighted amount of securitization exposures
235. Provisions supplementary to section 234
236. Deductions from core capital and supplementary capital
237. Determination of risk-weights
238. Most senior tranche in securitization transaction
239. Securitization positions which are in second loss tranche or better
in ABCP programmes
240. Treatment of liquidity facilities and servicer cash advance facilities
241. Treatment of overlapping facilities
242. Maximum regulatory capital for originating institution
243. Treatment of underlying exposures of originating institution in
synthetic securitization transactions
244. Treatment of investors' interest for securitization exposures of
originating institution subject to early amortization provision
245. Calculation of risk-weighted amount of investors' interest for
securitization exposures of originating institution subject to early
amortization provision
246. Treatment of interest rate contracts and exchange rate contracts
247. Recognized credit risk mitigation
248. Treatment of maturity mismatches
249. Application of Division 4
250. Application of scaling factor
251. Deductions from core capital and supplementary capital
252. Treatment of liquidity facilities and servicer cash advance facilities
253. Treatment of overlapping facilities
254. Maximum regulatory capital for originating institution
255. Treatment of underlying exposures of originating institution in
synthetic securitization transactions
256. Treatment of investors' interest for securitization exposures of
originating institution subject to early amortization provision
257. Calculation of risk-weighted amount of investors' interest for
securitization exposures of originating institution subject to early
amortization provision
258. Treatment of interest rate contracts and exchange rate contracts
259. Application of Division 5
260. Calculation of risk-weighted amount of securitization exposures
261. Provisions supplementary to section 260
262. Determination of risk-weights
263. Use of inferred ratings
264. Calculation of risk-weighted amount of liquidity facilities
265. Recognized credit risk mitigation
266. Treatment of maturity mismatches
267. Application of Division 6
268. Calculation of risk-weighted amount of securitization exposures
269. Provisions supplementary to section 268
270. Use of supervisory formula
271. Capital charge factor for underlying exposures under IRB approach
272. Credit enhancement level of tranche
273. Thickness of tranche
274. Effective number of underlying exposures
275. Exposure-weighted average LGD
276. Simplified method for calculating N and exposure-weighted average LGD
277. Calculation of risk-weighted amount of liquidity facilities
278. Treatment of recognized credit risk mitigation—full credit protection
279. Treatment of recognized credit risk mitigation—partial credit
protection
280. Treatment of maturity mismatches
281. Interpretation of Part 8
282. Application of Divisions 2 to 10
283. Positions to be used to calculate market risk
284. Calculation of market risk capital charge for each risk category
285. Calculation of risk-weighted amount for market risk
286. Calculation of market risk capital charge
287. Calculation of market risk capital charge for specific risk
288. Calculation of market risk capital charge for general market risk
289. Construction of maturity ladder
290. Use of alternatives requires Monetary Authority's prior consent
291. Calculation of market risk capital charge
292. Calculation of market risk capital charge
293. Calculation of market risk capital charge for specific risk
294. Calculation of market risk capital charge for general market risk
295. Preliminary steps to calculating market risk capital charge
296. Calculation of market risk capital charge
297. Preliminary steps to calculating market risk capital charge
298. Calculation of market risk capital charge
299. Approaches which authorized institution may use to calculate market
risk capital charge for option exposures
300. Application of Division 8
301. Calculation of market risk capital charge for outstanding purchased
option contracts
302. Application of Division 9
303. Delta risk
304. Gamma risk
305. Vega risk
306. Application of Division 10
307. Specific risk
308. Use of credit derivative contracts to offset specific risk
309. Offsetting in full
310. Offsetting by 80%
311. Other offsetting
312. General market risk
313. Counterparty credit risk
314. Foreign exchange risk
315. Application of Divisions 11 and 12
316. Positions to be used to calculate market risk
317. Calculation of risk-weighted amount for market risk
318. Default risk
319. Multiplication factor
320. IMM approach to calculation of market risk
321. Counterparty credit risk
322. Foreign exchange risk
323. Foreign exchange risk
324. Meaning of "loans and advances in the standardized business line of
commercial banking"
325. Meaning of "loans and advances in the standardized business line of
commercial banking"
326. Application of Division 2
327. Calculation of capital charge for operational risk under BIA approach
328. Calculation of risk-weighted amount for operational risk under BIA
approach
329. Application of Division 3
330. Classification of authorized institution's business activities into
standardized business lines
331. Calculation of capital charge for operational risk under STO approach
332. Calculation of risk-weighted amount for operational risk under STO
approach
333. Application of Division 4
334. Application of section 330 in classification of authorized
institution's business activities into standardized business lines
335. Calculation of capital charge for operational risk in all
standardized business lines except retail banking and commercial
banking under ASA approach
336. Calculation of capital charge for operational risk in retail banking
under ASA approach
337. Calculation of capital charge for operational risk in commercial
banking under ASA approach
339. Calculation of risk-weighted amount for operational risk under ASA
approach
340. Provisions applicable where certain authorized institutions have
difficulties with BIA approach, STO approach or ASA approach
341. Transitional arrangements
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SCHEDULE 5
SCHEDULE 6
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SCHEDULE 15
[ Note: This table has been automatically generated and may be incomplete. ]