Regulatory Alerts2019-03-01
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Completion Instructions - Part IIIe (Central Counterparties)
Authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(IIIe) to report risk-weighted amounts for credit exposures to central counterparties, including default fund contributions and default risk exposures from derivatives and securities financing transactions. The instructions specify reporting requirements for qualifying and non-qualifying CCPs, detailing how to calculate risk-weighted amounts using risk weights of 0%, 2%, or 1250% and applying credit risk mitigation treatments. Institutions must report exposures based on their status as clearing members or clients, utilizing either the IMM(CCR) or Non-IMM(CCR) approaches, and adhere to specific definitions for principal amounts and default risk exposures.
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