Cap 155M s 50 Currency risk (Banking (Disclosure) Rules; BANKING ORDINANCE)

Contents of Section

Chapter:	155M	Title:	Banking (Disclosure) Rules	Gazette Number:	L.N. 229 of 2006; L.N. 232 of 2006
Section:	50	Heading:	Currency risk	Version Date:	01/01/2007

(1) Subject to subsections (2) and (3), an authorized institution shall disclose its foreign currency exposures which arise from trading, non-trading and structural positions in accordance with the return relating to foreign currency positions it submitted to the Monetary Authority pursuant to section 63 of the Ordinance in respect of the annual reporting period.
(2) Where an authorized institution's net position (in absolute terms) in a particular foreign currency constitutes not less than 10% of the institution's total net position in all foreign currencies, the institution shall disclose in respect of the particular currency its—

(a) spot assets;

(b) spot liabilities;

(d) forward sales;

(e) net options position; and

(f) net long (or net short) position.

(3) For the purposes of subsection (2), an authorized institution shall calculate its net options position on the basis of—

(a) the delta-weighted position of its options contracts; or

(b) the institution's internal reporting method.

(4) An authorized institution shall disclose the basis referred to in subsection (3) on which it calculates its net options position.
(5) Where an authorized institution's net structural position (assets less liabilities) in a particular foreign currency constitutes (in absolute terms) not less than 10% of the institution's total net structural position in all foreign currencies, the institution shall disclose that net structural position in that particular foreign currency.
(6) For the purposes of this section, an authorized institution shall convert all foreign currency amounts into their equivalents in Hong Kong dollars as at the reporting date in determining whether its net position or net structural position in a foreign currency constitutes not less than 10% of its total net position or total net structural position, as the case may be, in all foreign currencies.