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 6: Revised CAR Return Part IIIc (IRB Approach)
The document establishes the structure and reporting requirements for Part IIIc of the Capital Adequacy Ratio return, specifically detailing the calculation of risk-weighted amounts for credit risk under the Internal Ratings-Based (IRB) approach. It mandates the use of specific forms, including IRB_CSB, IRB_SLSLOT, IRB_RETAIL, and various equity exposure forms, to report data across corporate, sovereign, bank, and retail subclasses. The text specifies supervisory risk-weights for specialized lending, such as 50% for STRONG grades and 250% for WEAK grades, and defines the scaling factor application where the total risk-weighted amount after scaling equals Item 7 multiplied by 1.06. Reporting authorized institutions must provide granular data on exposures, probability of default, loss given default, and credit conversion factors for both on-balance sheet and off-balance sheet items.
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