Regulatory Alerts2024-02-28
Added · Updated
Completion Instructions for Return of Capital Adequacy Ratio (MA(BS)3(IIId)) – Risk-weighted Amount for Credit Risk (Securitization Exposures)
Authorized institutions incorporated in Hong Kong with securitization exposures in their banking book must complete Form MA(BS)3(IIId) to report risk-weighted amounts and capital deductions for securitization transactions. The form requires detailed reporting across Divisions A to E, covering exposures subject to the SEC-IRBA, SEC-ERBA, SEC-SA, and SEC-FBA, with specific columns for on-balance sheet and off-balance sheet exposures. Institutions must decompose exposures covered by tranched credit protection into protected and unprotected sub-tranches and report underlying exposures of non-eligible transactions or synthetic securitizations as if they had not been securitized. Reporting arrangements specify how to handle credit risk mitigation, including recognized guarantees, credit derivatives, and collateral, ensuring amounts are reported in rows corresponding to the applicable risk-weights.
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