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 10: Revised CAR Return Part IV Market Risk
The document specifies the reporting templates and calculation methodologies for market risk capital charges within the Revised Return of Capital Adequacy Ratio (Form MA(BS)3). It details the Standardized Trading Book (STM) approach for interest rate, equity, foreign exchange, commodity, and option exposures, including specific risk and general market risk components. The text provides tables for non-securitization and securitization exposures, outlining capital charge factors for various credit quality grades and residual maturities. It also defines the Internal Models Method (IMM) approach for calculating Value at Risk (VaR) and Stressed VaR, including back-testing exception requirements.
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