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.
Part IIIe: Risk-weighted Amount for Exposures to Central Counterparties (CCP) Division A: Default Fund Contribution Default fund contribution HK$'000 Capital Charge HK$'000 Risk-weight % Risk-weighted Amount HK$'000 Adjusted Riskweighted Amount HK$'000
- Qualifying CCPs 1a. Option 1 1250 1b. Option 2
- Non-qualifying CCPs 1250 SUBTOTAL Division B: Default Risk Exposures Clearing member's exposures Collateral posted Non-IMM(CCR) IMM(CCR) Total RiskPrincipal Default Risk Default Risk Principal Exposure Risk- weighted Amount Exposure Exposure Amount After CRM weight Amount HK$'000 % HK$'000
- Qualifying CCPs 1a. Risk-weight 0% 0 0 1b. Risk-weight 2% 2 1c. Other risk-weights not specified above
- Non-qualifying CCPs 2a. Risk-weight 0% 0 0 2b. Risk-weight 10% 10 2c. Risk-weight 20% 20 2d. Risk-weight 30% 30 2e. Risk-weight 50% 50 2f. Risk-weight 100% 100 2g. Risk-weight 150% 150 2h. Other risk-weights not specified above SUBTOTAL Client's exposures Collateral posted Non-IMM(CCR) IMM(CCR) Total RiskPrincipal Default Risk Default Risk Principal Exposure Risk- weighted Amount Exposure Exposure Amount After CRM weight Amount HK$'000 % HK$'000
- Qualifying CCPs 3a. Risk-weight 0% 0 0 3b. Risk-weight 2% 2 3c. Risk-weight 4% 4 3d. Other risk-weights not specified above
- Non-qualifying CCPs 4a. Risk-weight 0% 0 0 4b. Risk-weight 10% 10 4c. Risk-weight 20% 20 4d. Risk-weight 30% 30 4e. Risk-weight 50% 50 4f. Risk-weight 100% 100 4g. Risk-weight 150% 150 4h. Other risk-weights not specified above SUBTOTAL
- TOTAL RISK-WEIGHTED AMOUNT FOR EXPOSURES TO CCPs Derivative Contracts and SFTs Derivative Contracts and SFTs
- Part IIIe: 1 -
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