Annex - Good practices on market risk capital charge calculation and related risk management

Annex Email: HKMA E-mail Alert of 01 June 2026 (05:00 p.m. HKT)

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Title: Annex - Good practices on market risk capital charge calculation and related risk management

Type: Annex

URL: https://brdr.hkma.gov.hk/eng/doc-ldg/docId/20260529-10-EN

Email Received: 2026-06-01 17:20

Summary Created: 2026-06-01 12:00

English Summary
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Management Summary
  • Purpose / Background: The HKMA conducted thematic reviews of Authorized Institutions (AIs) regarding Market Risk Capital Charge (MRCC) calculation and risk management in the context of Basel III final reform (B3F). The review specifically examined the identification/measurement of Residual Risk Add-on (RRAO) and Standardized Default Risk Charge (SA-DRC) and associated controls.
  • One-line conclusion: AIs must enhance their MRCC calculation frameworks by integrating detailed product taxonomies, robust new product approval processes (NPAP), and conservative proxy booking controls to ensure compliance with B3F standards.
  • Key Changes:
  • Integration of MRCC assessment directly into the New Product Approval Process (NPAP).
  • Adoption of granular product taxonomies with automated mapping to risk classes and MRCC components.
  • Systematic evaluation of RRAO and SA-DRC applicability during product lifecycle.
  • Shift toward automated, dynamic taxonomy updates based on model outputs.
  • Implementation of conservative manual adjustments when proxy booking is utilized.
  • Key Dates / Deadlines: Not specified (AIs are expected to review and enhance frameworks immediately in light of the good practices observed).
  • Applicability / Impact scope: Applicable to all AIs subject to Basel III final reform (B3F) market risk standards.
  • Recommended management actions:
  • Update NPAP templates to include explicit assessment items for RRAO, SA-DRC, and B3F sensitivity-based method (SBM) requirements.
  • Develop or refine a granular product taxonomy that maps instruments to specific MRCC components and risk factors.
  • Automate taxonomy classification processes to improve data integrity and reduce manual errors.
  • Establish a formal review cycle for "proxy booking" arrangements to ensure they remain suitable as pricing models evolve.
  • Implement a conservative "add-on" policy for MRCC calculation where proxy booking methodologies are identified as potentially underestimating risk.
Detailed Summary
  1. Document Overview
    This document summarizes HKMA’s findings from thematic reviews of AIs’ market risk management and capital calculation under the Basel III final reform (B3F) package. It serves as a benchmark for AIs to align their internal processes with "good practices."
  1. Main Requirements
  • NPAP Enhancement: AIs must ensure that MRCC implications (specifically B3F standards) are assessed at the product design/approval stage using standardized templates.
  • Taxonomy Management: Institutions are expected to maintain a comprehensive product taxonomy that links instruments to risk classes, pricing models, and specific capital charges (including RRAO and SA-DRC).
  • Proxy Booking Governance: Where model or data limitations necessitate "proxy booking," AIs must document the rationale, test the suitability of the proxy method, and ensure the resulting capital charge is conservative.
  1. Key Changes (Vs. Previous Requirements)
  • Shift from general product descriptions to detailed mappings of specific risk factors and MRCC weights.
  • Requirement for more rigorous, documented justification for proxy booking methods.
  • Expectation for ongoing, periodic reviews of proxy booking suitability as market conditions or modeling capabilities improve.
  1. Important Dates & Transition
    N/A (Ongoing regulatory expectation).
  1. Impact and Risks
  • Operational: Potential burden of updating legacy NPAP systems and taxonomy databases.
  • Data/IT: Need for automated linkages between valuation engines and regulatory capital reporting systems to maintain dynamic taxonomies.
  • Compliance: Risk of capital underestimation if proxy methods fail to capture optionality or specific sensitivities (e.g., vega/curvature risks).
  1. Compliance Action Checklist
  • [ ] Review existing NPAP templates for inclusion of B3F-specific assessment criteria.
  • [ ] Audit current product taxonomy for granularity (mapping to RRAO/SA-DRC).
  • [ ] Evaluate all existing "proxy booking" scenarios; document rationale and conduct a "gap analysis" against the actual risk profile.
  • [ ] Implement manual conservative adjustments for any identified proxy-related risk underestimation.
  • [ ] Schedule regular periodic reviews of taxonomy integrity and proxy booking necessity.
  1. Appendices/attachments summary
    (Note: The provided text contains no formal "Appendices," but the footnote on page 3 serves as a technical clarification.)
  • Footnote 1 (Proxy Booking Example): Clarifies that using plain forwards as a proxy for flexible forwards fails to capture vega and curvature risks, highlighting the need for conservative adjustments.
中文摘要
快速切換摘要區塊
管理層摘要
  • 目的/背景： 金管局（HKMA）針對《巴塞爾協定三》最終修訂（B3F）進行了專題審查，檢視認可機構（AI）在市場風險資本要求（MRCC）計算及相關風險管理（特別是殘餘風險附加費 RRAO 及標準化違約風險費 SA-DRC）的執行情況。
  • 一句話結論： 機構需參考金管局觀察到的「良好作業模式」，優化新產品審批、產品分類及替代記帳（Proxy Booking）流程，確保 MRCC 計算的準確性與完整性。
  • 關鍵變更：
  • 強調將 MRCC 的評估納入新產品審批流程（NPAP）。
  • 推廣「產品分類帳」（Product Taxonomy）的顆粒度，並要求與風險因子、定價模型及 MRCC 參數自動掛鉤。
  • 對替代記帳（Proxy Booking）要求更嚴格的審核、保守性調整及動態監控。
  • 重要日期 / 截止日： 本文件為良好作業指引，即日起生效，機構應對照審查並落實優化。
  • 適用對象 / 影響範圍： 適用於所有受監管的認可機構（AIs），特別是從事交易及持有複雜金融工具、涉及 MRCC 計算的部門。
  • 管理層建議行動：
  1. 審視審批流程： 更新 NPAP 模板，納入 B3F 標準下的風險分類、敏感度及 RRAO/SA-DRC 適用性評估。
  2. 提升分類精度： 建立具備詳細風險標籤（Mapping）的產品分類架構，並推動自動化分類更新。
  3. 強化記帳管控： 針對 Proxy Booking 建立完整審核路徑，確保風險補償（Add-ons）的保守性。
  4. 定期監控與回測： 對定價模型及替代記帳方式進行定期評估，並根據市場條件變更調整參數。
詳細摘要

1) 文檔概述
本文件總結了金管局對認可機構實施 B3F 市場風險資本要求（MRCC）的專題審查結果，旨在提供優化市場風險管理框架的參考建議，確保計算邏輯符合監管對 RRAO 與 SA-DRC 的高要求。

2) 主要要求

  • 新產品審批流程 (NPAP)： 要求將 MRCC 納入新產品生命週期管理，利用專屬評估模板確保對風險類別、敏感度及資本費用的全面覆蓋。
  • 顆粒化產品分類 (Product Taxonomy)： 應將產品與風險因子、定價模型及 MRCC 參數精確映射。推動動態分類，根據valuation系統自動更新，以確保資料實時性。
  • 替代記帳 (Proxy Booking) 管理： 對於定價模型或數據缺失的工具，若使用 Proxy 記帳，必須進行嚴謹的分析論證、記錄假設條件，並在無法完全捕捉風險時，主動採取保守的資本加碼（Capital Add-ons）。

3) 關鍵變更

  • 系統化評估： 從過往的個案審批轉向結構化模板管理，確保 MRCC 計算在產品推出前已預先納入考慮。
  • 自動化監控： 由以往的手動維護分類表，轉向與評價模型聯動的自動分類機制。
  • 保守性要求： 在 Proxy Booking 領域，明確要求評估代理方法的有效性，若代理方法導致風險低估，必須手動補足資本。

4) 重要日期與過渡安排
本指引已生效，HKMA 期望認可機構對照文件內容，自發評估現有 MRCC 管理框架並在適當範圍內進行升級。

5) 對機構的影響與風險

  • 營運： 增加 NPAP 評估負擔，需跨部門（前台、風險、財務）協作。
  • IT 與數據： 系統需支援更細顆粒度的產品標籤，並具備自動映射及動態更新功能。
  • 合規風險： 若 Proxy Booking 缺乏科學論證或未採取保守處理，可能面臨資本計提不足的監管審查風險。

6) 合規動作清單 (Checklist)

  • [ ] 更新 NPAP 評估模板，確保涵蓋 RRAO 與 SA-DRC 的適用性分析。
  • [ ] 檢視產品分類帳（Taxonomy），確保每個工具皆已標記對應的風險類別與資本要求。
  • [ ] 建立替代記帳的審查機制，針對 Proxy 選擇進行壓力測試與敏感度分析。
  • [ ] 設定定期覆核機制，審查模型有效性與 Proxy 記帳的持續適用性。

7) 附件/附錄摘要
本文件本身即為指引 Annex，無額外附件。文中提及的「Good practices」是核心執行建議，所有細節已整合於上述管理層行動中。