Regulatory Alerts2021-05-12
Added · Updated
Completion Instructions for Return of Capital Adequacy Ratio Part 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. The form requires reporting across Divisions A through E, covering exposures subject to the SEC-IRBA, SEC-ERBA, SEC-SA, and SEC-FBA approaches, with specific columns for on-balance sheet and off-balance sheet items. Institutions must decompose exposures covered by tranched credit protection into protected and unprotected sub-tranches and report underlying exposures of non-eligible securitization transactions as if they had not been securitized. The instructions define terms such as exposure amount before credit risk mitigation and specify how to handle default risk, dilution risk, and derivative contracts within the framework.
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