Regulatory Alerts2021-05-12
Added · Updated
Revised Banking Returns and Disclosure Templates for Counterparty Credit Risk Framework - Enclosure 17 Completion Instructions MA(BS)3 Part IV Illustration
The document provides illustrative completion instructions for Part IV of the MA(BS)3 reporting template, detailing the calculation of risk-weighted amounts for market risk under the Standardised Measurement Approach. It specifies reporting requirements for interest rate exposures, including specific and general market risk for currencies such as HKD, USD, EUR, and GBP, as well as equity and option exposures. The instructions define the data fields, maturity bands, risk-weight factors, and capital charge calculations that reporting institutions must use to populate the regulatory returns.
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