Regulatory Alerts2018-03-02
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) and New Return of Leverage Ratio (Form MA(BS)27) Annex 8: Revised CAR Return Part IIIe
The document provides the structure for calculating the risk-weighted amount for exposures to Central Counterparties (CCP) within Part IIIe of the Capital Adequacy Ratio return. It specifies distinct calculation divisions for default fund contributions and default risk exposures, categorizing entities as either qualifying or non-qualifying CCPs. The form outlines specific risk-weight percentages, ranging from 0% to 150%, applicable to clearing member and client exposures, including derivative contracts and securities financing transactions (SFTs), to determine the final total risk-weighted amount.
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