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2018-03-02

Added 2026-06-21 · Updated 2026-08-16

Revised Return of Capital Adequacy Ratio Form MA(BS)3 Annex 7 Revised CAR Return Template Part IIId Securitization Exposures

The document provides the revised template for Part IIId of the Capital Adequacy Ratio return, specifically detailing the risk-weighted amount calculations for securitization exposures. It establishes structured reporting divisions for senior and non-senior exposures under the SEC-IRBA, SEC-ERBA (long-term and short-term), SEC-SA (including re-securitization), and SEC-FBA approaches. The template requires institutions to report exposure amounts before and after credit risk mitigation, principal amounts, and resulting risk-weighted amounts in HK$'000 across on-balance sheet and off-balance sheet categories.

Hong Kong

Hong Kong Monetary Authority

Part IIId : Risk-weighted Amount for Credit Risk (Securitization Exposures) Division A : Summary of Risk-weighted Amount and Capital Deductions (in HK$'000) (1) (2) A1. Under SEC-IRBA A2. Under SEC-ERBA A3. Under SEC-SA (a) of which RWA for re-securitization exposures A4. Total (item (A1) + item (A2) + item (A3)) A5. Total after adjusted for maximum capital requirement (a) under the SEC-IRBA (b) under the SEC-ERBA and SEC-SA A6. Under SEC-FBA A7. Adjusted total (item (A5) + item (A6)) of which: (a) RWA for off-balance sheet exposures whose CCF is not 100% (b) RWA for unrated exposures (e.g. liquidity facilities, servicer cash advance facilities and credit enhancements) extended to ABCP programme B1. Credit-enhancing interest-only strip B2. Gain-on-sale B3. Other increase in the CET1 capital B4. Other exposures specified by the Monetary Authority Notes: a. SEC-IRBA means the securitization internal ratings-based approach. b. SEC-ERBA means the securitization external ratings-based approach. c. SEC-SA means the securitization standardized approach. d. SEC-FBA means the securitization fall-back approach. e. Securitization exposures include re-securitization exposures unless otherwise stated. Total amount Amount incurred as an originating institution A. Risk-weighted amount B. Capital deductions

Part IIId: 1 -

Division B : Securitization Exposures under SEC-IRBA Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 3. Total (item (1)(k) + item (2)(k)) Item Nature of item Senior exposures On-balance Sheet Exposures (in HK$'000) Non-senior exposures Off-balance Sheet Exposures

Part IIId: 2 -

Division C1 : Long-term Securitization Exposures under SEC-ERBA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 3. Item Nature of item Senior long-term securitization exposures Non-senior long-term securitization exposures Total (item 1(k) + item 2(k)) On-balance Sheet Exposures Off-balance Sheet Exposures (in HK$'000)

Part IIId: 3 -

Division C2 : Short-term Securitization Exposures under SEC-ERBA Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7)

Senior short-term securitization exposures (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% and < 50% (d) Risk-weight = 50% (e) Risk-weight > 50% and < 100% (f) Risk-weight = 100% (g) Risk-weight > 100% - 300% (h) Risk-weight > 300% - 500% (i) Risk-weight > 500% - 800% (j) Risk-weight > 800% - 1000% (k) Risk-weight > 1000% - <1250% (l) Risk-weight = 1250% (m) Subtotal

(a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% and < 50% (d) Risk-weight = 50% (e) Risk-weight > 50% and < 100% (f) Risk-weight = 100% (g) Risk-weight > 100% - 300% (h) Risk-weight > 300% - 500% (i) Risk-weight > 500% - 800% (j) Risk-weight > 800% - 1000% (k) Risk-weight > 1000% - <1250% (l) Risk-weight = 1250% (m) Subtotal 3. On-balance Sheet Exposures Item Nature of item (in HK$'000) Off-balance Sheet Exposures Total (item 1(m) + item 2(m)) Non-senior short-term securitization exposures

Part IIId: 4 -

Division D1 : Securitization Exposures (other than Re-securitization Exposures) under SEC-SA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 3. Non-senior securitization exposures (other than re-securitization exposures) Total (item (1)(k) + item (2)(k)) Senior securitization exposures (other than re-securitization exposures) On-balance Sheet Exposures Off-balance Sheet Exposures Item Nature of item (in HK$'000)

Part IIId: 5 -

Division D2 : Re-securitization Exposures under SEC-SA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% and < 100% (e) Risk-weight = 100% (f) Risk-weight > 100% - 300% (g) Risk-weight > 300% - 500% (h) Risk-weight > 500% - 800% (i) Risk-weight > 800% - 1000% (j) Risk-weight > 1000% - <1250% (k) Risk-weight = 1250% (l) Total Item Nature of item Re-securitization exposures under the SEC-SA (in HK$'000) On-balance Sheet Exposures Off-balance Sheet Exposures

Part IIId: 6 -

Division E : Securitization Exposures under SEC-FBA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Sub-total 3. Total (item 1 + item 2(k)) On-balance Sheet Exposures (in HK$'000) Item Nature of item Securitization exposures (without CRM) Securitization exposures (fully or partially covered by CRM) Off-balance Sheet Exposures

Part IIId: 7 -