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2021-05-12

Added 2026-06-21 · Updated 2026-08-16

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.

Hong Kong

Hong Kong Monetary Authority

Part IV: Risk-weighted Amount for Market Risk Division A: STM Approach - Interest Rate Exposures (Trading Book) A.1 Interest rate exposures - specific risk (a) Non-securitization exposures that do not fall within a correlation trading portfolio and that are not nth-to-default credit derivative contracts (HK$'000) Item Classes (Note (1)) Positions (0.25%) (1.00%) (1.60%)

Sovereign (including sovereign foreign public sector entities) (1), (3) 1.1 Credit quality grade 1 Long 88,116 Short 1.2 Credit quality grade 2 or 3 Long Short 1.3 Credit quality grade 4 or 5 Long Short 1.4 Credit quality grade 6 Long Short 1.5 Unrated Long Short Qualifying 1.6 Issued by multilateral development banks Long Short 1.7 Issued by public sector entities (excluding sovereign foreign public sector entities) Long Short 1.8 Issued by banks Long Short 1.9 Issued by securities firms Long Short 1.10 Issued by corporates Long Short Non-qualifying (12) 1.11 Credit quality grade 4 Long 10,000 Short 1.12 Credit quality grade 5 Long (13) Short 1,000 (2) 1.13 Unrated Long 40,732 Short 1.14 TOTAL (Items 1.1 to 1.13) Long 88,116 0 50,732 0 0 Short 0 1,000 0 1.15 Market risk capital charge factor 0.00% 0.25% 1.00% 1.60% 8.00% 12.00% _____% 1.16 TOTAL MARKET RISK CAPITAL CHARGE FOR SPECIFIC RISK FOR INTEREST RATE EXPOSURES (ON GROSS POSITIONS - LONG PLUS SHORT) 0 4,059 120 0 4,179 Note: Over 24 months (1) For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Exposures by market risk capital charge factor for specific risk Total market risk capital charge for specific risk (0.00%) Residual maturity (8.00%) (12.00%) To be specified ( %) 6 months or less Over 6 months to 24 months

Part IV: 1 - MA(BS)(3)(Illustration)(12/2012)

A.2 Interest rate exposures - general market risk Currency : HKD (separate form for each currency) Maturity method (HK$'000) Long Short Long Short Long Short Long Short 1 1 ≤1 month ≤1 month 0.00% (8), (11) 2 >1 to 3 months >1 to 3 months 500 24,653 500 24,653 0.20% 1 49 (4), (5) 3 >3 to 6 months >3 to 6 months 153,783 48,589 153,783 48,589 0.40% 615 194 (5), (6) 4 >6 to 12 months >6 to 12 months 47,852 19,141 47,852 19,141 0.70% 335 134 (6) 2 5 >1 to 2 years >1.0 to 1.9 years 18,531 18,531 0 1.25% 232 0 (4), (13) 6 >2 to 3 years >1.9 to 2.8 years 1,026 159,766 0 160,792 1.75% 0 2,814 7 >3 to 4 years >2.8 to 3.6 years 0 0 2.25% 0 0 3 8 >4 to 5 years >3.6 to 4.3 years 0 0 2.75% 0 0 9 >5 to 7 years >4.3 to 5.7 years 0 0 3.25% 0 0 10 >7 to 10 years >5.7 to 7.3 years 0 0 3.75% 0 0 11 >10 to 15 years >7.3 to 9.3 years 0 0 4.50% 0 0 12 >15 to 20 years >9.3 to 10.6 years 0 0 5.25% 0 0 13 >20 years >10.6 to 12 years 0 0 6.00% 0 0 14 >12 to 20 years 0 0 8.00% 0 0 15 >20 years 0 0 12.50% 0 0 TOTAL 0 1,026 220,666 252,149 220,666 253,175 1,183 3,191 OVERALL NET OPEN RISK-WEIGHTED POSITION 33 19 70 0 230 2,008 2,360 Note: (2,008) Vertical disallowance Horizontal disallowance in Horizontal disallowance between Zones 1 & 2 Zones 2 & 3 Zones 1 & 3 TOTAL MARKET RISK CAPITAL CHARGE FOR GENERAL MARKET RISK FOR INTEREST RATE EXPOSURES Zone 1 Zone 2 Zone 3 Risk-weighted positions Coupon of not less than 3% per annum Coupon of less than 3% per annum Debt securities & debt-related derivative contracts Interest rate derivative contracts Total Zone Time band Coupon Calculation For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Overall net open riskweighted position Total market risk capital charge for general market risk Individual positions Risk-weight

Part IV: 2 - MA(BS)(3)(Illustration)(12/2012)

A.2 Interest rate exposures - general market risk Currency : HKD (separate form for each currency) Maturity method (Calculation of each component of total market risk capital charge for general market risk for interest rate exposures) (HK$'000) Between zones Long Short Matched (in absolute value) Unmatched Matched (in absolute value) Unmatched Matched (in absolute value) For the vertical disallowance 1 1 ≤1 month ≤1 month 0 329 x 10% 33 (8), (11) 2 >1 to 3 months >1 to 3 months 1 49 1 (48) (4), (5) 3 >3 to 6 months >3 to 6 months 615 194 194 421 For the horizontal disallowance in zone 1 (5), (6) 4 >6 to 12 months >6 to 12 months 335 134 134 201 48 x 40% 19 (6) 2 5 >1 to 2 years >1.0 to 1.9 years 232 0 0 232 (4) 6 >2 to 3 years >1.9 to 2.8 years 0 2,814 0 (2,814) For the horizontal disallowance in zone 2 7 >3 to 4 years >2.8 to 3.6 years 0 232 x 30% 70 3 8 >4 to 5 years >3.6 to 4.3 years 9 >5 to 7 years >4.3 to 5.7 years For the horizontal disallowance between zone 1 & zone 2 10 >7 to 10 years >5.7 to 7.3 years 574 x 40% 230 11 >10 to 15 years >7.3 to 9.3 years 12 >15 to 20 years >9.3 to 10.6 years For the overall net open position 13 >20 years >10.6 to 12 years 2,008 x 100% 2,008 14 >12 to 20 years 2,360 15 >20 years TOTAL 1,183 3,191 329 OVERALL NET OPEN RISK-WEIGHTED POSITION (2,008) 48 574 574 232 (2,582) By band By zone Calculation of total market risk capital charge for general market risk for interest rate exposures Coupon of not less than 3% per annum Coupon of less than 3% per annum Zone Time band Coupon Risk-weighted positions

Part IV: 3 - MA(BS)(3)(Illustration)(12/2012)

A.2 Interest rate exposures - general market risk Currency : USD (separate form for each currency) Maturity method (HK$'000) Long Short Long Short Long Short Long Short 1 1 ≤1 month ≤1 month 0.00% (3) 2 >1 to 3 months >1 to 3 months 8,283 0 8,283 0.20% 0 17 3 >3 to 6 months >3 to 6 months 0.40% 0 0 (2) 4 >6 to 12 months >6 to 12 months 40,732 40,732 0 0.70% 285 0 2 5 >1 to 2 years >1.0 to 1.9 years 0 0 1.25% 0 0 6 >2 to 3 years >1.9 to 2.8 years 0 0 1.75% 0 0 7 >3 to 4 years >2.8 to 3.6 years 0 0 2.25% 0 0 3 8 >4 to 5 years >3.6 to 4.3 years 0 0 2.75% 0 0 (3) 9 >5 to 7 years >4.3 to 5.7 years 8,283 8,283 0 3.25% 269 0 (1) 10 >7 to 10 years >5.7 to 7.3 years 79,833 79,833 0 3.75% 2,994 0 11 >10 to 15 years >7.3 to 9.3 years 0 0 4.50% 0 0 12 >15 to 20 years >9.3 to 10.6 years 0 0 5.25% 0 0 13 >20 years >10.6 to 12 years 0 0 6.00% 0 0 14 >12 to 20 years 0 0 8.00% 0 0 15 >20 years 0 0 12.50% 0 0 TOTAL 128,848 8,283 0 0 128,848 8,283 3,548 17 OVERALL NET OPEN RISK-WEIGHTED POSITION 0 7 (17X40%) 0 3,531 3,538 Note: Zones 1 & 3 Zone Time band Coupon Calculation For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Overall net open riskweighted position Total market risk capital charge for general market risk Individual positions Risk-weighted positions Coupon of not less than 3% per annum Coupon of less than 3% per annum Debt securities & debt-related derivative contracts Interest rate derivative contracts Total Risk-weight TOTAL MARKET RISK CAPITAL CHARGE FOR GENERAL MARKET RISK FOR INTEREST RATE EXPOSURES Zone 1 Zone 2 Zone 3 3,531 Vertical disallowance Horizontal disallowance in Horizontal disallowance between Zones 1 & 2 Zones 2 & 3

Part IV: 4 - MA(BS)(3)(Illustration)(12/2012)

A.2 Interest rate exposures - general market risk Currency : EUR (separate form for each currency) Maturity method (HK$'000) Long Short Long Short Long Short Long Short 1 1 ≤1 month ≤1 month 0.00% (8) 2 >1 to 3 months >1 to 3 months 49,597 49,597 0 0.20% 99 0 3 >3 to 6 months >3 to 6 months 0.40% 0 0 4 >6 to 12 months >6 to 12 months 0.70% 0 0 2 5 >1 to 2 years >1.0 to 1.9 years 0 0 1.25% 0 0 6 >2 to 3 years >1.9 to 2.8 years 0 0 1.75% 0 0 7 >3 to 4 years >2.8 to 3.6 years 0 0 2.25% 0 0 3 8 >4 to 5 years >3.6 to 4.3 years 0 0 2.75% 0 0 9 >5 to 7 years >4.3 to 5.7 years 0 0 3.25% 0 0 10 >7 to 10 years >5.7 to 7.3 years 0 0 3.75% 0 0 11 >10 to 15 years >7.3 to 9.3 years 0 0 4.50% 0 0 12 >15 to 20 years >9.3 to 10.6 years 0 0 5.25% 0 0 13 >20 years >10.6 to 12 years 0 0 6.00% 0 0 14 >12 to 20 years 0 0 8.00% 0 0 15 >20 years 0 0 12.50% 0 0 TOTAL 0 0 49,597 0 49,597 0 99 0 OVERALL NET OPEN RISK-WEIGHTED POSITION 0 99 99 Note: 99 Vertical disallowance Horizontal disallowance in Horizontal disallowance between Zones 1 & 2 Zones 2 & 3 Zones 1 & 3 TOTAL MARKET RISK CAPITAL CHARGE FOR GENERAL MARKET RISK FOR INTEREST RATE EXPOSURES Zone 1 Zone 2 Zone 3 Risk-weighted positions Coupon of not less than 3% per annum Coupon of less than 3% per annum Debt securities & debt-related derivative contracts Interest rate derivative contracts Total Zone Time band Coupon Calculation For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Overall net open riskweighted position Total market risk capital charge for general market risk Individual positions Risk-weight

Part IV: 5 - MA(BS)(3)(Illustration)(12/2012)

A.2 Interest rate exposures - general market risk Currency : GBP (separate form for each currency) Maturity method (HK$'000) Long Short Long Short Long Short Long Short 1 1 ≤1 month ≤1 month 0.00% 2 >1 to 3 months >1 to 3 months 0.20% 0 0 (7) 3 >3 to 6 months >3 to 6 months 1,277 0 1,277 0.40% 0 5 (7) 4 >6 to 12 months >6 to 12 months 1,234 3,813 1,234 3,813 0.70% 9 27 (7) 2 5 >1 to 2 years >1.0 to 1.9 years 3,676 4,865 3,676 4,865 1.25% 46 61 (7) 6 >2 to 3 years >1.9 to 2.8 years 4,683 4,683 0 1.75% 82 0 7 >3 to 4 years >2.8 to 3.6 years 0 0 2.25% 0 0 3 8 >4 to 5 years >3.6 to 4.3 years 0 0 2.75% 0 0 9 >5 to 7 years >4.3 to 5.7 years 0 0 3.25% 0 0 10 >7 to 10 years >5.7 to 7.3 years 0 0 3.75% 0 0 11 >10 to 15 years >7.3 to 9.3 years 0 0 4.50% 0 0 12 >15 to 20 years >9.3 to 10.6 years 0 0 5.25% 0 0 13 >20 years >10.6 to 12 years 0 0 6.00% 0 0 14 >12 to 20 years 0 0 8.00% 0 0 15 >20 years 0 0 12.50% 0 0 TOTAL 0 0 9,593 9,955 9,593 9,955 137 93 OVERALL NET OPEN RISK-WEIGHTED POSITION 6 (55X10%) 0 5 (15X30%) 0 9 (23X40%) 0 0 44 64 Note: Zones 1 & 3 Zone Time band Coupon Calculation For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out a Overall net open riskweighted position Total market risk capital charge for general market risk Individual positions Risk-weighted positions Coupon of not less than 3% per annum Coupon of less than 3% per annum Debt securities & debt-related derivative contracts Interest rate derivative contracts Total Risk-weight TOTAL MARKET RISK CAPITAL CHARGE FOR GENERAL MARKET RISK FOR INTEREST RATE EXPOSURES Zone 1 Zone 2 Zone 3 44 Vertical disallowance Horizontal disallowance in Horizontal disallowance between Zones 1 & 2 Zones 2 & 3

Part IV: 6 - MA(BS)(3)(Illustration)(12/2012)

Division B: STM Approach - Equity Exposures (Trading Book) (HK$'000) (9), (10) 1. Common stocks Long 750 11,000 11,750 Short 0 2. Convertible securities Long 0 Short 0 3. Commitments to buy or sell equities and equity forward contracts Long 0 Short 0 4. Equity swap contracts (Note (2)) Long 0 Short 0 (11) 5. Futures contracts relating to equity indices Long 0 Short 500 500 6. Futures contracts relating to individual equities Long 0 Short 0 7. Option contracts relating to equity indices (Note (3)) Long 0 Short 0 8. Option contracts relating to individual equities (Note (3)) Long 0 Short 0 9. Others Long 0 Short 0 TOTAL Long 750 11,000 11,750 Short 500 500 Calculation (A) Gross (long plus short) positions 1,250 11,000 12,250 Market risk capital charge factor 8% 8% 8% 8% 8% 8% Market risk capital charge for specific risk 100 880 980 (B) Net long or short positions (in absolute value) 250 11,000 11,250 Market risk capital charge factor 8% 8% 8% 8% 8% 8% Market risk capital charge for general market risk 20 880 900 TOTAL MARKET RISK CAPITAL CHARGE FOR EQUITY EXPOSURES 120 1,760 1,880 Note: (2) Item Nature of item Positions (1) The reporting institution should report its equity exposures on an exchange-by-exchange basis (i.e. separate column for each stock or futures exchange) and use separate reporting form(s) if the columns of this form are not enough. Where an equity swap contract involves a leg requiring the receipt or payment of fixed or floating rate interest, that leg should be regarded as an interest rate exposure and reported in Division A.2. (3) For equity-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Stock or futures exchanges Total Hong Kong Outside Hong Kong (Note (1))

Part IV: 7 - MA(BS)(3)(Illustration)(12/2012)

Division E: STM Approach - Option Exposures E.1 Simplified approach (For reporting institutions which purchase only option contracts as defined in the completion instructions.) 1(a) Long option contract with a related position in the underlying exposure of the option contract (HK$'000) Item Nature of the underlying exposure General market risk 1.1 Debt instruments (Note (1)) 0.00% (Note(2)) Note (3) 0 0.25% (Note(2)) Note (3) 0 1.00% (Note(2)) Note (3) 0 1.60% (Note(2)) Note (3) 0 8.00% (Note(2)) Note (3) 0 12.00% (Note(2)) Note (3) 0 To be specified (Note(2)) Note (3) 0 1.2 Interest rate, i.e. non-debt related (Note (1)) Note (3) 0 (10) 1.3 Equity (Note(1)) 8.00% 45 45 1.4 Foreign exchange 8.00% 0 1.5 Commodity 15.00% 0 TOTAL MARKET RISK CAPITAL CHARGE FOR OPTION EXPOSURES 45 Note: (1) Only trading book positions should be reported. (2) The classes are same as those in Division A.1(a). (3) The general market risk capital charge should be calculated as per the risk-weights according to the time bands set out in Division A.2. Specific risk 8.00% 0.00% 0.00% 0.00% Report the market risk capital charge for each option contract as well as the related position in the underlying exposure below. Market risk capital charge = (Fair value of the underlying exposure of the option contract) x (Sum of the market risk capital charge factors for general market risk and specific risk for the underlying exposure) – (The amount by which the option contract is in-the-money) Market risk capital charge factor Long underlying exposure & long put option contract Short underlying exposure & long call option contract Total market risk capital charge

Part IV: 8 - MA(BS)(3)(Illustration)(12/2012)