Hong Kong Regulations

BANKING (DISCLOSURE) RULES - SECT 81

Credit risk mitigation

(1) An authorized institution shall disclose, in respect of credit risk
mitigation used by it other than for transactions and contracts which fall
within section 80(1)—

   (a)  its policies and processes for, and an indication of the extent to
        which it makes use of, on-balance sheet and off-balance sheet
        recognized netting;

   (b)  its policies and processes for the valuation and management of
        collateral;

   (c)  a description of the main types of recognized collateral taken by the
        institution;

   (d)  the main types of guarantor and credit derivative counterparty and
        their creditworthiness for the recognized guarantees and recognized
        credit derivative contracts which constitute its credit risk
        mitigation; and

   (e)  information about both credit and market risk concentrations within
        the credit risk mitigation used by it.

(2) An authorized institution shall disclose—

   (a)  for each separately disclosed IRB class of exposures in respect of
        which the institution uses the foundation IRB approach other than for
        transactions and contracts which fall within section 80(1), the total
        exposure (after, if applicable, the effect of any on-balance sheet or
        off-balance sheet recognized netting has been taken into account)
        which is covered by recognized collateral after the application of any
        haircuts required under the Capital Rules; and

   (b)  for each separately disclosed IRB class of exposures other than for
        transactions and contracts which fall within section 80(1), the total
        exposure (after, if applicable, the effect of any on-balance sheet or
        off-balance sheet recognized netting has been taken into account)
        which is covered by recognized guarantees or recognized credit
        derivative contracts after the application of any haircuts required
        under the Capital Rules.

(3) An authorized institution—

   (a)  shall not make disclosures under this section in respect of credit
        derivative contracts which are treated as part of synthetic
        securitization transactions; and

   (b)  shall make disclosures under section 82 in respect of such credit
        derivative contracts.