Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 57

Credit risk: specific disclosures

An authorized institution shall disclose—

   (a)  the names of the ECAIs it used in relation to its exposures during the
        annual reporting period and the institution's reasons for the
        differences, if any, between its disclosure under this paragraph and
        the last disclosure it made under this paragraph;

   (b)  the class of exposure for which each ECAI so named is so used;

   (c)  a description of the process it used during the annual 
        reporting period to map ECAI issuer ratings or ECAI issue specific
        ratings to exposures booked in the institution's banking book if that
        process is not a process prescribed in Part 4 of the Capital Rules;

   (d)  for each separately disclosed class of exposures, the total amount of
        exposures (being the principal amount for on-balance sheet exposures
        or the credit equivalent amount for off-balance sheet exposures, as
        the case requires, net of specific provisions) covered by the STC
        approach;

   (e)  for each separately disclosed class of exposures after the effect of
        recognized credit risk mitigation under the STC approach has been
        taken into account—

        (i)    the total amount of outstanding exposures (distinguishing
               between exposures which have an ECAI issue specific rating and
               those which do not); and

        (ii)   the respective risk-weighted amounts; and

   (f)  the amount of credit exposures deducted from the institution's core
        capital and supplementary capital.