Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 80

General disclosures for counterparty credit risk-related exposures

(1) An authorized institution shall disclose, in respect of its counterparty
credit risk which arises from OTC derivative transactions,
repo-style transactions and credit derivative contracts (other than recognized
credit derivative contracts) booked in its banking book or
trading book (referred to in this section as "relevant transactions"), a
description of—

   (a)  the methodology it uses to assign internal capital and credit limits
        for counterparty credit exposures; and

   (b)  its policies for securing collateral and establishing provisions.

(2) An authorized institution shall disclose a breakdown of the major classes
of its exposures by counterparty type.

(3) An authorized institution shall disclose, in respect of the
relevant transactions—

   (a)  the gross total positive fair value of the relevant  transactions
        which are not repo-style transactions;

   (b)  the credit equivalent amounts, after taking into account the effect of
        valid bilateral netting agreements, for the relevant  transactions
        which are not repo-style transactions;

   (c)  the net credit exposures to counterparties, after taking into account
        the effect of any valid bilateral netting agreements, for the
        relevant transactions which are repo-style transactions;

   (d)  the recognized collateral (broken down by type of collateral) held by
        the institution for the relevant transaction;

   (e)  the credit equivalent amounts, or the net credit exposures, for the
        relevant transactions after taking into account the effect of any
        recognized collateral;

   (f)  the respective risk-weighted amounts for the relevant  transactions;

   (g)  the notional amounts of recognized credit derivative contracts which
        provide credit protection for the relevant transactions; and

   (h)  the institution's EAD and the risk-weighted amount of its credit
        exposures for each type of relevant transaction.

(4) An authorized institution shall disclose the notional amounts of credit
derivative contracts which create exposures to counterparty credit risk—

(a) segregated between those used for the institution's credit portfolio and
those used in the institution's intermediation activities, and broken down
into each type of credit derivative contracts used; and

   (b)  broken down into the protection bought and the protection sold within
        each type of such contract.

(5) A reference in this section to a relevant transaction which is a
repo-style transaction means a transaction which falls within—

        (a)	paragraph (c) of the definition of "repo-style transaction" in 
section 2(1) of the Capital Rules; or

   (b)  where the collateral provided by the authorized institution
concerned is money, paragraph (d) of the definition of "repo-style
transaction" in section 2(1) of the Capital Rules.