On Dec. 20, 2024, HKMA issued the revised SPM module CA-B-3 and return MA(BS)25.
Changes reflect relevant updates from the Banking (capital) (amendment) rules 2023.
Adopts new approach per revised market risk framework, clarifies output floor, credit valuation adjustment risk calculation, updates MA(BS)25 for quarterly CCyB reporting.
Reporting institutions must submit revised return via STET system, software available.
New reporting requirements effective starting from Mar. 31, 2025 reporting position.
On Jul. 23, HKMA proposed revisions to SPM module CA-B-3.
HKMA proposed revisions to SPM module CA-B-3 CCyB – geographic allocation of private sector credit exposures and Return MA(BS)25Quarterly reporting on the CCyB.
Document dated Jul. 23, 2024, received from HKMA Jul. 24, summarized on Jul. 28.
Revisions
Incorporate changes to SPM module CA-B-1 re revised CCyB framework, see #196408.
Update terminology to include AI-specific CCyB, JCCyB, and applicable JCCyB.
Revise section on aggregating banking book and trading book private sector credit exposures for each geographic location; for avoidance of doubt, authorized institutions (AIs) should use risk-weighted amount (RWA) for respective risks calculated per the BCR, regardless of whether the output floor (under BCR Part 11) is binding or not.
Provides for use of standardized market risk (STM) approach, internal models approach (IMA) or simplified standardized approach (SSTM) approach to calculate default risk charge or specific risk charge, in terms of identifying obligor's jurisdiction.
Consultation Period
The comment period for this consultation closes on Sep. 3, 2024.
Dec. 2024 Revised Module
On Dec. 20, 2024, HKMA issued the revised SPM module CA-B-3 and return MA(BS)25.
Changes reflect relevant updates from the Banking (capital) (amendment) rules 2023.
Adopts new approach per revised market risk framework, clarifies output floor, credit valuation adjustment risk calculation, updates MA(BS)25 for quarterly CCyB reporting.
Reporting institutions must submit revised return via STET system, software available.
New reporting requirements effective starting from Mar. 31, 2025 reporting position.
