Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 75

Calculation of risk-weighted amount of exposures in respect of repo-style transactions booked in banking book

(1) An authorized institution shall calculate the risk-weighted  amount of an
exposure in respect of a repo-style transaction booked in its banking book in
accordance with the following provisions.

(2) Where the repo-style transaction falls within paragraph (a) or

        (b) of the definition of "repo-style transaction" in section 2(1), an 
authorized institution shall treat the securities sold or lent under the
transaction as an on-balance sheet exposure of the institution as if the
institution had never entered into the transaction and, accordingly, calculate
the risk-weighted amount of the institution's exposure in respect of the
transaction by reference to the risk-weight attributable to the securities.

(3) Where the repo-style transaction falls within paragraph (c) of
the definition of "repo-style transaction" in section 2(1), an authorized
institution shall treat the money paid by the institution under the
transaction as a loan to the counterparty secured on the securities which are
provided to, or to the order of, the institution under the transaction and,
accordingly, calculate the risk-weighted amount of the institution's exposure
in respect of the transaction by reference to the attributed  risk-weight of
the counterparty subject to the application of any
recognized credit risk mitigation in respect of collateralized transactions.

(4) Where the repo-style transaction falls within paragraph (d) of
the definition of "repo-style transaction" in section 2(1)—

   (a)  if and to the extent an authorized institution has provided collateral
        in the form of money under the transaction, the institution shall
        treat the money paid by the institution under the transaction as a
        loan to the counterparty secured on the securities borrowed by the
        institution and, accordingly, calculate the risk-weighted amount of
        the institution's exposure in respect of the transaction by reference
        to the attributed risk-weight of the counterparty subject to the
        application of any recognized credit risk mitigation in respect of
        collateralized transactions;

   (b)  if and to the extent an authorized institution has provided collateral
        in the form of securities under the transaction, the institution shall
        treat those securities as its on-balance sheet exposure as if the
        institution had never entered into the transaction and, accordingly,
        calculate the risk-weighted amount of the institution's exposure in
        respect of the transaction by reference to the risk-weight
        attributable to the securities.