Hong Kong Regulations

BANKING (CAPITAL) RULES - SECT 86

Calculation of risk-weighted amount of exposures taking into account credit risk mitigation effect of recognized collateral under comprehensive approach

Division 7—Use of recognized collateral in credit risk mitigation:
comprehensive approach

(1) Where an authorized institution uses the comprehensive approach in its
treatment of recognized collateral, the institution shall calculate the
risk-weighted amount of its on-balance sheet exposures and off-balance sheet
exposures in accordance with sections 87, 88, 89, 90, 91, 92 and 93.

(2) Schedule 7 contains provisions relating to the use of standard 
supervisory haircut in the treatment of recognized collateral.