On Mar. 15, HKMA issued new SPM modules on market and CVA risk.
HKMA issued new supervisory policy manual (SPM) modules on market and CVA risk.
Follows HK GVT Dec. 2023 gazetted rules regarding Basel III final package, #196408.
Also follows HKMA Oct. 2023 issued market risk related SPM, see #186634.
Also follows HKMA Oct. 2023 issued CVA risk related SPM, see #186639.
Aimed at providing additional technical details in addition to the Banking (capital) (amendment) rules 2023 (rules) and to integrally cover all the related requirements.
Market Risk SPM
Covers the standardized market risk approach (STM approach), the internal models approach (IMA), as well as the simplified standardized approach (SSTM approach).
Covers requirements related to the boundary between trading book and banking book.
In case of any discrepancy between this module and the rules, the rules will prevail.
CVA Risk SPM
Covers the reduced basic CVA approach, the full basic CVA approach and standardized CVA approach (SA-CVA); any discrepancy from the rules, the rules will prevail.
Specifies criteria of SA-CVA where adoption of SA-CVA requires approval from HKMA.
Also specifies components, risk factors and sensitivity definitions under SA-CVA.
Effectiveness
SPMs are expected to be effective from 1 Jan. 2025; previous guidelines superseded.
Aug. 2024 FAQs
On Aug. 13, 2024, HKMA issued FAQs on revised market risk and CVA risk framework.
