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Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

1

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in Hong Kong and to provide an overview of the framework for the

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A statutory guideline issued by the MA under the Banking Ordinance (the

Ordinance), §7(3).

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To all locally incorporated AIs

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1. Introduction

1.1 Terminology

1.2 Background

3. Solo CAR and LR requirements

4. Consolidated CAR and LR requirements

5. Calculation of CAR

Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

2

6. Composition of capital base

6.1 General

6.2 Tier 1 capital

6.3 Tier 2 capital

6.4 Self-assessment of capital instruments

6.5 Point of non-viability

6.6 Regulatory deductions

7. Capital buffers

8. Risk-weighting framework

8.1 Risk coverage

8.2 Credit risk (non-securitization exposures)

8.3 Exposures to central counterparties

8.4 Credit risk (securitization exposures)

8.5 Use of credit risk mitigation techniques

8.6 Market risk

8.7 Operational risk

8.8 Sovereign concentration risk

9. Calculation of leverage ratio

10. Assessment of overall capital adequacy

11. Interest rate risk in the banking book

12. Determination of minimum CAR requirements

13. Monitoring compliance with minimum CAR requirements

14. Consequences of contraventions

15. Financial disclosures

16. Further developments

Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

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F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

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Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

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2.1.4 7OH I5 MV GHILQHG LQ §3Y of the BCR, is a non-risk

XQGHU %MVHO HHH MV M ³NMŃN-VPRS´ PR restrict the build-up of excessive leverage in the banking sector and to provide an additional safeguard against model risk and measurement error in the risk-based CAR calculation. The minimum LR, as prescribed in §3Z of the BCR, is 3%.

2.1.5 Under paragraph 2 of the Eighth Schedule to the

Ordinance, the failure of an AI to meet the criteria set out in paragraph 6 of the Seventh Schedule to the Ordinance would provide grounds for the MA to revoke not, however, automatically lead to the revocation of its banking licence, and the MA will discuss remedial action with the AI (as required under §97E(1) of the Ordinance) and will likely require the AI to submit a

Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

6 approval and seems reasonable and practically achievable, the MA may then serve a written notice on the AI under §97E(2) of the Ordinance requiring the AI to implement the remediation plan. Under §97E(4) of the Ordinance, if an AI fails to comply with any requirement imposed in a notice served on it under §97E(2) of the Ordinance, then every director, every chief executive and every manager of that AI commits an offence (see section 14 of this module for details).

2.1.6 Under §97D(3) of the Ordinance, if an AI fails to

immediately notify the MA regarding a matter prescribed in the BCR2, then every director, every chief executive and every manager of that AI commits an offence.

2.1.7 In broad terms, the BCR impose CAR requirements on

an AI at two levels (and likewise for LR requirements): (a) on a solo basis, which measures the capital adequacy of an AI based on the capital strength, risk profile, or the on- and off-balance sheet exposures of the AI taking into account the combined position of its head office and branches, both in and outside Hong Kong; (b) on a consolidated basis, which measures the capital adequacy of an AI based on the capital strength, risk profile, or the on- and off-balance sheet exposures of the AI after consolidating the assets and liabilities of such of its subsidiaries as specified by the MA for such calculation purposes.

2.1.8 AIs are required to calculate their CAR in accordance

with the methodologies and requirements set out in the

BCR. The BCR set out various alternative

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Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

7 approaches which AIs can use to calculate their capital requirements for credit risk, market risk and operational risk. Certain of these approaches, however, can only be adopted by an AI if the AI satisfies specified criteria and has obtained the prior approval of the MA (see section 8 of this module for details). The approval may be granted subject to any conditions that the MA thinks proper to attach to the approval in any particular case. If an AI disagrees with a decision made by the approach (including a decision to attach conditions to the approval of the application granted by the MA), the AI may under §101B(1) of the Ordinance apply to the BRT for a review of that decision. For the calculation of their LR, AIs are required to apply the formula likewise specified in the BCR (see section 9 of this module for details).

2.1.9 To ensure that AIs have adequate capital to guard

against their exposure to all risks (i.e. not only those captured in the CAR calculation under the BCR which focuVHV RQ POH %MVHO ³3LOOMU 1´ ULVNV ± i.e. credit risk, market risk and operational risk), the HKMA adopts a risk-based and structured framework to set and review framework, which reflects Pillar 2 of the Basel regulatory capital framework and is referred to as the supervisory review process (SRP), is set out in CA-G-

5 ³6XSHUYLVRU\ 5HYLHR 3URŃHVV´.

2.1.10 AIs should have an internal capital adequacy

assessment process (CAAP) for assessing their overall capital adequacy in relation to their risk profile. They should also have a strategy for maintaining the required level of capital. The supervisory standards through the SRP and uses the results for determining commensurate with its risk profile. The MA may issue

Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

8 a notice under §97F of the Ordinance to vary the minimum CAR applicable to the AI if the MA is satisfied on reasonable grounds that it is prudent to do so, taking into account the risks associated with the AI. require AIs to set non-statutory internal capital targets above the statutory minimum requirements and any applicable regulatory capital buffers (and likewise for LR, a non-statutory internal LR target above their minimum LR requirement), which serve as an early warning signal for potential contravention of the statutory requirements (see paragraphs 9.5 and 13.1 below for more details).

2.1.12 As set out in the Banking (Disclosure) Rules (BDR)

made by the MA under §60A of the Ordinance, AIs (unless they are exempted by the MA under the BDR) are required to disclose publicly information in relation to their state of affairs, including their profit and loss and their financial resources (including capital resources and liquidity resources) in accordance with the standards set out in the BDR and by reference to CA-D-1 ³*XLGHOLQH RQ POH $SSOLŃMPLRQ RI POH %MQNLQJ

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2.2 Where necessary, further elaboration on the capital adequacy

framework is (and will continue to be) provided in supplementary guidance issued by the HKMA from time to time in the form of

Frequently Asked Questions, etc.

2.3 It should however be borne in mind that the CAR of an AI only

minimum CAR requirements, though an important element in the substitutes for a sound risk management and control environment

Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

E which all AIs should have in place and which is the most effective way to mitigate risks.

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alone capital strength, all AIs are required to comply with the minimum CAR and LR requirements on a solo basis. To arrive at the capital position of an AI on a solo basis, the investments of the AI in capital instruments issued by, or non-capital LAC liabilities3 RI ³ILQMQŃLMO VHŃPRU HQPLPLHV´ MV GHILQHG LQ POH %F5 MUH subject to the deduction requirements under the BCR. These entities include: in which case exemptions are allowed for: (i) ³LQVLJQLILŃMQP I$F LQYHVPPHQPV´4 in the form of CET1 capital instruments, Additional Tier 1 capital instruments and Tier 2 capital instruments, or non-capital LAC liabilities (provided the MPRXQPV MUH RLPOLQ POH VSHŃLILHG ³POUHVOROGV´ determined by reference to 5% and 10% of the CET1 capital of the AI) calculated in accordance with Schedule 4F to the BCR; and (ii) ³VLJQLILŃMQP I$F LQYHVPPHQPV´5 in the form of CET1 capital instruments (up to 10% of the CET1 capital of the AI) calculated in accordance with Schedule 4G to the BCR. Investments in capital instruments and non-capital LAC

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Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

10 must however still be subject to risk-weighting treatment as required under the BCR.

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(a) the subsidiary is wholly owned by, and managed as if it were an integral part of, the AI; (b) the subsidiary is wholly financed by the AI such that the subsidiary has no depositors or other external creditors except external creditors for audit fees, company secretarial services and sundry operating expenses; and (c) there are no regulatory, legal or taxation constraints on the

4. Consolidated CAR and LR requirements

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F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

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4.4 In calculating its CAR and LR on a consolidated basis, an AI is

required to deduct from its capital base its capital investments in any financial sector entities (including those that are securities and insurance firms) that are not the subject of consolidation under §3C of the BCR. As mentioned in paragraph 3.1 above, a limited exemption from deduction is available to the extent of the thresholds permitted in the BCR and calculated under Schedule

4F and Schedule 4G to the BCR.

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Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

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4.6 For AIs with subsidiaries that are incorporated outside Hong Kong

and that are subject to comparable capital adequacy standards in the relevant host jurisdictions, the MA may, on the application of an AI under §33(1) of the BCR, grant approval to the AI to risk- weight exposures of the subsidiary based on the capital adequacy standards applicable in those jurisdictions (instead of the BCR). This will however only be considered on an exceptional basis where the MA is satisfied that, inter alia, the relevant subsidiary is subject to capital adequacy standards that are equivalent to the

Basel III capital standards.

5. FMOŃXOMPLRQ RI F$5

5.1 Under the BCR, an AI must calculate each of the capital ratios

referred to in paragraph 2.1.2 above as a ratio (expressed as a section 6 of this module) to the sum of its risk-weighted amounts (RWAs) for credit risk, market risk, operational risk and sovereign concentration risk. Sections 6 to 8 and 10 to 13 of this module provide a summary, respectively, of the composition of each tier

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Supervisory Policy Manual

F$*1 Overview of Capital Adequacy

Regime for Locally Incorporated

Authorized Institutions

V.3 ± 19.06.20

13 of the capital base and of the methodologies for calculating the

RWA for each type of risk as set out in the BCR.

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6.1 *HQHUMO

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quotesdbs_dbs44.pdfusesText_44

[PDF] pékin lieux d'intérêt

[PDF] capitale japon

[PDF] capitale chine nationaliste

[PDF] beijing airport

[PDF] population shanghai

[PDF] capital de la russie

[PDF] rosace cm2

[PDF] capitale irak

[PDF] pékin synonyme

[PDF] carnet de chant animateur

[PDF] carnet chant musique et animations

[PDF] carnet de chants scouts pdf

[PDF] chanson carnet de chant

[PDF] chanson acm

[PDF] cahier de chants colo