Regulatory Alerts2018-03-02
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Completion Instructions Part IIIe Central Counterparties
All authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(IIIe) to report the risk-weighted amount for credit exposures to central counterparties (CCPs) calculated under Division 4 of Part 6A of the Banking (Capital) Rules. The form requires reporting institutions to disclose exposures arising from default fund contributions and default risk exposures related to derivative contracts, securities financing transactions, and posted collateral, distinguishing between qualifying and non-qualifying CCPs. Institutions must calculate risk-weighted amounts using specific risk-weights, such as 1250% for non-qualifying CCPs and 2% for qualifying CCPs, while applying recognized credit risk mitigation treatments as permitted by the Banking (Capital) Rules.
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