Regulatory Alerts2022-07-11
Added · Updated
Completion Instructions for Return of Capital Adequacy Ratio Form MA(BS)3 Part VI – Sovereign Concentration Risk
Authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(VI) to determine their risk-weighted amount for sovereign concentration risk when calculating capital adequacy ratios. An institution has concentrated sovereign exposure to a country or jurisdiction if its specified sovereign exposure to that jurisdiction exceeds 100% of its Tier 1 capital. The instructions define specified sovereign entities, credit protection providers, and the methodology for apportioning exposure amounts and applying risk-weights as set out in the Banking (Capital) Rules. The document provides illustrative examples for calculating risk-weighted amounts in scenarios involving direct exposures, indirect exposures, and repo-style transactions with or without netting agreements.
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