Regulatory Alerts2021-05-12
Added · Updated
Completion Instructions for Form MA(BS)3(IIIb) – Risk-weighted Amount for Credit Risk Standardized Approach
Authorized institutions incorporated in Hong Kong using the standardized credit risk approach must complete Form MA(BS)3(IIIb) to report risk-weighted amounts for specific credit exposures. The form covers on-balance sheet and off-balance sheet exposures in the banking book, default risk exposures from securities financing transactions and derivatives in the trading book, and credit exposures related to unsegregated collateral, while excluding items reported in other forms such as those subject to capital deduction or securitization exposures. Reporting entities are required to classify exposures into thirteen mutually exclusive classes, including sovereign, bank, corporate, and residential mortgage loans, and apply specific rules for instruments like credit-linked notes and cash collateral. The instructions also mandate avoiding double counting of exposures and define how to handle accruals, failed settlements, and the use of External Credit Assessment Institution ratings for determining risk weights.
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