Regulatory Alerts2019-03-01
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Enclosure 10: Completion Instructions - Part IIId (Securitization Exposures)
Authorized institutions incorporated in Hong Kong holding securitization exposures in their banking book must complete Form MA(BS)3(IIId) to report total risk-weighted amounts and capital deductions. The form requires detailed reporting across Divisions A through E, covering exposures subject to the SEC-IRBA, SEC-ERBA, SEC-SA, and SEC-FBA approaches, including specific instructions for on-balance sheet and off-balance sheet exposures. Reporting entities must decompose exposures covered by tranched credit protection into protected and unprotected sub-tranches and report underlying exposures of non-eligible or synthetic securitization transactions as if they had not been securitized. The instructions define terms such as principal amount, exposure amount before CRM, and risk-weight, and specify how to handle credit risk mitigation, maturity mismatches, and overlapping exposures between banking and trading books.
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