Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 22

Provisions supplementary to section 20: derivative transactions

(1) An authorized institution shall disclose the total contractual or notional
amounts of derivative transactions, broken down into—

   (a)  exchange rate-related derivative contracts (excluding forward foreign
        exchange contracts arising from swap deposit arrangements);

   (b)  interest rate derivative contracts; and

   (c)  others.

(2) An authorized institution shall disclose such risk exposure information as
is necessary for understanding the underlying risks of the exposures incurred
by the institution through the institution's use of derivative transactions.

(3) Without prejudice to the generality of subsection (2), an authorized
institution shall disclose—

   (a)  the total risk-weighted amount for credit risk and the total fair
        value (after taking into account the effect of a valid bilateral
        netting agreement) of its exchange rate-related derivative contracts,
        interest rate derivative contracts and other derivative transactions,
        if any; and

   (b)  the amount of fair value which has taken into account the effect of a
        valid bilateral netting agreement.