Regulatory Alerts2018-03-02
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Completion Instructions Part IV Market Risk
Authorized institutions incorporated in Hong Kong must complete Form MA(BS)3(IV) quarterly to report the risk-weighted amount for market risk, unless exempted by the Monetary Authority. Institutions using the internal models approach must still apply the standardized approach for specific risk capital charges and cannot revert without prior consent. The instructions mandate the use of fair values for calculations, define exclusions for certain hedges and capital deductions, and specify detailed mapping of ECAI ratings to credit quality grades for determining capital charge factors.
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