Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 29

Currency risk

(1) Subject to subsections (2) and (3), an authorized institution shall
disclose its foreign currency exposures which arise from trading, non-trading
and structural positions in accordance with the return relating to
foreign currency positions it submitted to the Monetary Authority pursuant to
section 63 of the Ordinance in respect of the interim reporting period.

(2) Where an authorized institution's net position (in absolute terms) in a
particular foreign currency constitutes not less than 10% of the institution's
total net position in all foreign currencies, the institution shall disclose
in respect of the particular currency its—

   (a)  spot assets;

   (b)  spot liabilities;

   (c)  forward purchases;

   (d)  forward sales;

   (e)  net options position; and

   (f)  net long (or net short) position.

(3) For the purposes of subsection (2), an authorized institution shall
calculate its net options position on the basis of—

   (a)  the delta-weighted position of its options contracts; or

   (b)  the institution's internal reporting method.

(4) An authorized institution shall disclose the basis referred to in
subsection (3) on which it calculates its net options position.

(5) Where an authorized institution's net structural position

(assets less liabilities) in a particular foreign currency constitutes (in
absolute terms) not less than 10% of the institution's total net structural
position in all foreign currencies, the institution shall disclose that net
structural position in that particular foreign currency.

(6) For the purposes of this section, an authorized institution shall convert
all foreign currency amounts into their equivalents in Hong Kong dollars as at
the reporting date in determining whether its net position or net structural
position in a foreign currency constitutes not less than 10% of its total net
position or total net structural position, as the case may be, in all foreign
currencies.