2018-03-02
Added · Updated
Authorized institutions must submit the Return of Leverage Ratio (Form MA(BS)27) to the Monetary Authority no later than 6 weeks after the end of each quarter, as required under section 63(2) of the Banking Ordinance. The form mandates the disclosure of on-balance sheet exposures, derivative exposures, securities financing transaction exposures, and applicable credit conversion factors. Institutions are required to calculate the Leverage Ratio by dividing Tier 1 Capital After Deductions by the total Exposure Measure and certifying the accuracy of the submission.
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LR /
Co. No. M M Y Y CAT.
(For Official Use Only)
Return of Leverage Ratio
Section 1: Exposure Measure
(1) On-balance Sheet Exposures
(a) Less : Regulatory adjustments
(2) Derivative Exposures
(a) Replacement cost associated with all derivatives transactions (b) Add-on amounts for potential future exposure associated with all derivatives transactions (c) Gross-up for collateral provided in respect of derivatives transactions (d) Adjusted effective notional amount of written credit derivatives (e) Less : Permitted reductions in notional amount and permitted deductions from addon amounts for potential future exposure of written credit derivatives (f) Less : Receivables in respect of cash variation margin provided in derivatives transactions (g) Less : Exempted CCP legs of client-cleared trade exposures (3) Securities Financing Transaction (SFT) Exposures (a) Gross SFT assets, after adjusting for sales accounting transactions (b) Less : Netted amounts of cash payables and cash receivables of gross SFT assets) (c) Counterparty credit risk exposure for SFT assets (d) Agent transaction exposures (4) CCF (%) (a) Exposures with a 10% CCF for the calculation of Leverage Ratio 10 (b) Exposures with a 20% CCF for the calculation of Leverage Ratio 20 (c) Exposures with a 50% CCF for the calculation of Leverage Ratio 50 (d) Exposures with a 100% CCF for the calculation of Leverage Ratio 100 (5)
Section 2: Calculation of the Leverage Ratio
(6) Exposure Measure for the calculation of the Leverage Ratio (A) (7) Tier 1 Capital After Deductions (B) (8) LEVERAGE RATIO [((B) / (A)) * 100%] (C) 0 Collective provisions and specific provisions that are allowed to be excluded from Exposure Measure 0.0000% 0 Item Nature of Item Column 1 (HK$ '000) Column 2 (HK$ '000) Column 3 (HK$ '000) Other Off-balance Sheet Exposures 0
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Source: Hong Kong Monetary Authority — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works
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