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)
HKMA support
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 the