The Hong Kong Monetary Authority (HKMA) has set out their requirements for FRTB in SPM MR-1 – Market Risk Capital Charge, published March 2024. Full capital and disclosure requirements have been effective since January 2025. contains a “HKMA” parameter set that configures the calculations to be compatible with SPM MR-1. The parameter set is defined in theDocumentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
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configuration/HKMA directory.
Differences With BCBS
- The reporting currency is set to Hong Kong Dollar (HKD).
- For the FX risk-class, the risk-weight for the USD/HKD currency pair is set to 1.3% (MR-1 3.4.42)