Regulatory Alerts2022-07-11
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Annex IIIe-B Example of calculation of risk-weighted amount of default risk exposure to central counterparty
The document provides an example calculation for an Authorised Institution acting as a clearing member of a qualifying central counterparty under a one-way variation margin agreement. It demonstrates how to determine the risk-weighted amount of default risk exposure by treating the agreement as unmargined, calculating the replacement cost and potential future exposure, and applying a 1.4 multiplier. The resulting default risk exposure is HK$21,840,000, which is reported in Division B of Part IIIe with a risk weight of 2%.
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