Regulatory Alerts2022-07-11
Added · Updated
Revised Return of Capital Adequacy Ratio Form MA(BS)3 Enclosure 13: Completion Instructions Illustration for Market Risk
The Hong Kong Monetary Authority issued this illustrative completion instruction for the Revised Return of Capital Adequacy Ratio (Form MA(BS)3) to guide reporting institutions on calculating market risk capital charges. The document provides detailed examples for the Standardized Measurement Approach, covering specific and general market risk for interest rate exposures across HKD, USD, EUR, and GBP, as well as equity and option exposures. It demonstrates the application of maturity methods, risk-weighting factors, and disallowance calculations to determine the total market risk capital charge for the trading book.
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