Regulatory Alerts2021-05-12
Added · Updated
Completion Instructions for MA(BS)3 Part IIIe: Revised Banking Returns for Counterparty Credit Risk Framework
Authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(IIIe) to report credit exposures to central counterparties calculated under Division 4 of Part 6A of the Banking (Capital) Rules. The form requires reporting of default fund contributions and default risk exposures arising from derivative contracts, securities financing transactions, and unsegregated collateral, categorized by the institution's role as a clearing member, direct client, or indirect client. Specific reporting columns mandate the disclosure of principal amounts, non-IMM(CCR) and IMM(CCR) default risk exposures, and total exposure after credit risk mitigation, applying risk-weights of 0%, 2%, or 1250% depending on whether the counterparty is a qualifying or non-qualifying central counterparty.
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