Regulatory Alerts2019-03-01
Added · Updated
Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Enclosure 14: Completion Instructions - Part IV (Market Risk) (Illustration)
The Hong Kong Monetary Authority issues this illustrative completion instruction for Part IV of the Revised Return of Capital Adequacy Ratio to guide reporting institutions on calculating market risk capital charges. The document details the Standardized Measurement Approach for interest rate exposures, requiring specific risk and general market risk calculations across multiple currencies using maturity bands and risk-weighted positions. It further specifies reporting requirements for equity exposures and simplified option exposures, providing structured tables and formulas to determine the total market risk capital charge for the trading book.
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