3        Liquidity Coverage Ratio Calculation

Sovereign

AAA

Aaa

AAA

AAA

AAA

1

AA+

Aa1

AA+

AA+

AA+

AA

Aa2

AA

AA

AA

AA-

Aa3

AA-

AA-

AA-

Banks, Financial Institutions, Securities Firms

AAA

Aaa

AAA

AAA

AAA

AA+

Aa1

AA+

AA+

AA+

AA

Aa2

AA

AA

AA

AA-

Aa3

AA-

AA-

AA-

Corporates

Other than India

AAA

Aaa

AAA

AAA

AAA

AA+

Aa1

AA+

AA+

AA+

AA

Aa2

AA

AA

AA

AA-

Aa3

AA-

AA-

AA-

India

CARE AAA

CRISIL AAA

[ICRA] AAA

CARE AAA (Is)

IrAAA

Sovereign

A+

A1

A+

A+

A+

2

A

A2

A

A

A

A-

A3

A-

A-

A-

Banks, Financial Institutions, Securities Firms

A+

A1

A+

A+

A+

A

A2

A

A

A

A-

A3

A-

A-

A-

Corporates

Other than India

A+

A1

A+

A+

A+

A

A2

A

A

A

A-

A3

A-

A-

A-

India

CARE AA+

CRISIL AA+

[ICRA]AA+

CARE AA

CRISIL AA

[ICRA]AA

CARE AA-

CRISIL AA-

[ICRA]AA-

CARE AA+(Is)

IrAA+

CARE AA(Is)

IrAA

CARE AA-(Is)

IrAA-

Sovereign

BBB+

Baa1

BBB+

BBB+

BBB+

3

BBB

Baa2

BBB

BBB

BBB

BBB-

Baa3

BBB-

BBB-

BBB-

Banks, Financial Institutions, Securities Firms

BBB+

Baa1

BBB+

BBB+

BBB+

BBB

Baa2

BBB

BBB

BBB

BBB-

Baa3

BBB-

BBB-

BBB-

Corporates

Other than India

BBB+

Baa1

BBB+

BBB+

BBB+

BBB

Baa2

BBB

BBB

BBB

BBB-

Baa3

BBB-

BBB-

BBB-

Corporates

India

CARE A+

CRISIL A+

[ICRA]A+

CARE A

CRISIL A

[ICRA]A

CARE A-

CRISIL A-

[ICRA]A-

CARE A+(Is)

IrA+

CARE A(Is)

IrA

CARE A-(Is)

IrA-

Sovereign

BB+

Ba1

BB+

BB+

BB+

4

BB

Ba2

BB

BB

BB

BB-

Ba3

BB-

BB-

BB-

Banks, Financial Institutions, Securities Firms

BB+

Ba1

BB+

BB+

BB+

BB

Ba2

BB

BB

BB

BB-

Ba3

BB-

BB-

BB-

B+

B1

B+

B+

B+

B

B2

B

B

B

B-

B3

B-

B-

B-

Corporates

Other than India

BB+

Ba1

BB+

BB+

BB+

BB

Ba2

BB

BB

BB

BB-

Ba3

BB-

BB-

BB-

Corporates

India

CARE BBB+

CRISIL BBB+

[ICRA]BBB+

CARE BBB

CRISIL BBB

[ICRA]BBB

CARE BBB-

CRISIL BBB-

[ICRA]BBB-

CARE BBB+(Is)

IrBBB+

CARE BBB(Is)

IrBBB

CARE BBB-(Is)

IrBBB-

Sovereign

B+

B1

B+

B+

B+

5

B

B2

B

B

B

B-

B3

B-

B-

B-

Banks, Financial Institutions, Securities Firms

CCC+

Caa1

CCC

CCC+

CCC

CCC

Caa2

CC

CCC

CC

CCC-

Caa3

C

CCC-

C

CC

Ca

D

CC

D

C

C

C

D

D

Corporates

Other than India

B+

B1

B+

B+

B+

B

B2

B

B

B

B-

B3

B-

B-

B-

CCC+

Caa1

CCC

CCC+

CCC

CCC

Caa2

CC

CCC

CC

CCC-

Caa3

C

CCC-

C

CC

Ca

D

CC

D

C

C

C

D

D

Corporates

India

CARE BB+

CRISIL BB+

[ICRA] BB+

CARE BB

CRISIL BB

[ICRA] BB

CARE BB-

CRISIL BB-

[ICRA] BB-

CARE B+

CRISIL B+

[ICRA] B+

CARE B

CRISIL B

[ICRA] B

CARE B-

CRISIL B-

[ICRA] B-

CARE C+

CRISIL C+

[ICRA] C+

CARE C

CRISIL C

[ICRA] C-

CARE C-

CRISIL C-

[ICRA] D

CARE D

CRISIL D

IrBB+

CARE BB+(Is)

IrBB

CARE BB(Is)

IrBB-

CARE BB-(Is)

IrB+

CARE B+ (Is)

IrB

CARE B (Is)

IrB-

CARE B-(Is)

IrC+

CARE C+ (Is)

IrC

CARE C(Is)

IrC-

CARE C-(Is)

CARE D (Is)

Sovereign

CCC+

Caa1

CCC

CCC+

CCC

6

CCC

Caa2

CC

CCC

CC

CCC-

Caa3

C

CCC-

C

CC

Ca

D

CC

D

C

C

C

D

D

Banks, Financial Institutions, Securities Firms, Corporates

Other than India

A-1+

P-1

F-1+

a-1+

J-1+

1s

A-1

F-1

a-1

J-1

India

CARE A1+

CRISIL A1+

[ICRA]A1+

Banks, Financial Institutions, Securities Firms, Corporates

Other than India

A-2

P-2

F2

a-2

J-2

2s

India

CARE A1

CRISIL A1

[ICRA]A1

Banks, Financial Institutions, Securities Firms, Corporates

Other than India

A-3

P-3

F3

a-3

J-3

3s

India

CARE A2+

CRISIL A2+

[ICRA]A2+

CARE A2

CRISIL A2

[ICRA]A2

Banks, Financial Institutions, Securities Firms, Corporates

Other than India

B

NP

B

b

NJ

4s

B-1

C

c

D

B-2

D

B-3

C

D

India

CARE A3+

CRISIL A3+

[ICRA]A3+

CARE A3

CRISIL A3

[ICRA]A3

Banks, Financial Institutions, Securities Firms, Corporates

India

CARE A4+

CRISIL A4+

[ICRA]A4+

5s

CARE A4

CRISIL A4

[ICRA]A4

CARE D

CRISIL D

[ICRA]D

USD

2%

Euro/ JPY/ GBP

8%

Others

10%

Standard Product Type

Current Account and Savings accounts = Priority 1; Time deposits = Priority 2.

Balance

If the Product types of two or more accounts are the same, the priority is given to account with highest EOP balance.

Account number

In the rare case that the product type and balances between accounts are the same, allocate priority to the lowest account number.

As of Date to As of Date - 29

As of Date

65

14

51

51

51 

As of Date - 1

65

9

56

107

107

As of Date - 2

74

83

-9

98

98

As of Date - 3

71

97

-26

72

72

As of Date - 4

84

89

-5

67

67

As of Date - 5

8

57

-49

18

18

As of Date - 6

40

59

-19

-1

1

As of Date - 7

42

87

-45

-46

46

As of Date - 8

100

6

94

48

48

As of Date - 9

41

30

11

59

59

As of Date - 10

45

9

36

95

95

As of Date - 11

9

32

-23

72

72

As of Date - 12

59

67

-8

64

64

As of Date - 13

61

10

51

115

115

As of Date - 14

22

36

-14

101

101

As of Date - 15

63

81

-18

83

83

As of Date - 16

36

3

33

116

116

As of Date - 17

61

22

39

155

155

As of Date - 18

94

37

57

212

212

As of Date - 19

3

18

-15

197

197

As of Date - 20

13

27

-14

183

183

As of Date - 21

24

56

-32

151

151

As of Date - 22

57

75

-18

133

133

As of Date - 23

66

87

-21

112

112

As of Date - 24

33

71

-38

74

74

As of Date - 25

29

30

-1

73

73

As of Date - 26

64

25

39

112

112

As of Date - 27

54

39

15

127

127

As of Date - 28

51

6

45

172

172

As of Date - 29

35

31

4

176

176

As of Date - 1 to As of Date - 30

As of Date - 1

65

9

56

56

56

As of Date - 2

74

83

-9

47

47

As of Date - 3

71

97

-26

21

21

As of Date - 4

84

89

-5

16

16

As of Date - 5

8

57

-49

-33

33

As of Date - 6

40

59

-19

-52

52

As of Date - 7

42

87

-45

-97

97

As of Date - 8

100

6

94

-3

3

As of Date - 9

41

30

11

8

8

As of Date - 10

45

9

36

44

44

As of Date - 11

9

32

-23

21

21

As of Date - 12

59

67

-8

13

13

As of Date - 13

61

10

51

64

64

As of Date - 14

22

36

-14

50

50

As of Date - 15

63

81

-18

32

32

As of Date - 16

36

3

33

65

65

As of Date - 17

61

22

39

104

104

As of Date - 18

94

37

57

161

161

As of Date - 19

3

18

-15

146

146

As of Date - 20

13

27

-14

132

132

As of Date - 21

24

56

-32

100

100

As of Date - 22

57

75

-18

82

82

As of Date - 23

66

87

-21

61

61

As of Date - 24

33

71

-38

23

23

As of Date - 25

29

30

-1

22

22

As of Date - 26

64

25

39

61

61

As of Date - 27

54

39

15

76

76

As of Date - 28

51

6

45

121

121

As of Date - 29

35

31

4

125

125

As of Date - 30

93

68

25

150

150

As of Date - 2 to As of Date - 31

As of Date - 2

74

83

-9

-9

9

As of Date - 3

71

97

-26

-35

35

As of Date - 4

84

89

-5

-40

40

As of Date - 5

8

57

-49

-89

89

As of Date - 6

40

59

-19

-108

108

As of Date - 7

42

87

-45

-153

153

As of Date - 8

100

6

94

-59

59

As of Date - 9

41

30

11

-48

48

As of Date - 10

45

9

36

-12

12

As of Date - 11

9

32

-23

-35

35

As of Date - 12

59

67

-8

-43

43

As of Date - 13

61

10

51

8

8

As of Date - 14

22

36

-14

-6

6

As of Date - 15

63

81

-18

-24

24

As of Date - 16

36

3

33

9

9

As of Date - 17

61

22

39

48

48

As of Date - 18

94

37

57

105

105

As of Date - 19

3

18

-15

90

90

As of Date - 20

13

27

-14

76

76

As of Date - 21

24

56

-32

44

44

As of Date - 22

57

75

-18

26

26

As of Date - 23

66

87

-21

5

5

As of Date - 24

33

71

-38

-33

33

As of Date - 25

29

30

-1

-34

34

As of Date - 26

64

25

39

5

5

As of Date - 27

54

39

15

20

20

As of Date - 28

51

6

45

65

65

As of Date - 29

35

31

4

69

69

As of Date - 30

93

68

25

94

94

As of Date - 31

51

97

-46

48

48

As of Date - 3 to As of Date - 32

As of Date - 3

71

97

-26

-26

26

As of Date - 4

84

89

-5

-31

31

As of Date - 5

8

57

-49

-80

80

As of Date - 6

40

59

-19

-99

99

As of Date - 7

42

87

-45

-144

144

As of Date - 8

100

6

94

-50

50

As of Date - 9

41

30

11

-39

39

As of Date - 10

45

9

36

-3

3

As of Date - 11

9

32

-23

-26

26

As of Date - 12

59

67

-8

-34

34

As of Date - 13

61

10

51

17

17

As of Date - 14

22

36

-14

3

3

As of Date - 15

63

81

-18

-15

15

As of Date - 16

36

3

33

18

18

As of Date - 17

61

22

39

57

57

As of Date - 18

94

37

57

114

114

As of Date - 19

3

18

-15

99

99

As of Date - 20

13

27

-14

85

85

As of Date - 21

24

56

-32

53

53

As of Date - 22

57

75

-18

35

35

As of Date - 23

66

87

-21

14

14

As of Date - 24

33

71

-38

-24

24

As of Date - 25

29

30

-1

-25

25

As of Date - 26

64

25

39

14

14

As of Date - 27

54

39

15

29

29

As of Date - 28

51

6

45

74

74

As of Date - 29

35

31

4

78

78

As of Date - 30

93

68

25

103

103

As of Date - 31

51

97

-46

57

57

As of Date - 32

12

31

-19

38

38

As of Date - 4 to As of Date - 33

As of Date - 4

84

89

-5

-5

5

As of Date - 5

8

57

-49

-54

54

As of Date - 6

40

59

-19

-73

73

As of Date - 7

42

87

-45

-118

118

As of Date - 8

100

6

94

-24

24

As of Date - 9

41

30

11

-13

13

As of Date - 10

45

9

36

23

23

As of Date - 11

9

32

-23

0

0

As of Date - 12

59

67

-8

-8

8

As of Date - 13

61

10

51

43

43

As of Date - 14

22

36

-14

29

29

As of Date - 15

63

81

-18

11

11

As of Date - 16

36

3

33

44

44

As of Date - 17

61

22

39

83

83

As of Date - 18

94

37

57

140

140

As of Date - 19

3

18

-15

125

125

As of Date - 20

13

27

-14

111

111

As of Date - 21

24

56

-32

79

79

As of Date - 22

57

75

-18

61

61

As of Date - 23

66

87

-21

40

40

As of Date - 24

33

71

-38

2

2

As of Date - 25

29

30

-1

1

1

As of Date - 26

64

25

39

40

40

As of Date - 27

54

39

15

55

55

As of Date - 28

51

6

45

100

100

As of Date - 29

35

31

4

104

104

As of Date - 30

93

68

25

129

129

As of Date - 31

51

97

-46

83

83

As of Date - 32

12

31

-19

64

64

As of Date - 33

34

36

-2

62

62

As of Date to As of Date - 29

212

212 

As of Date - 1 to As of Date - 30

161

As of Date - 2 to As of Date - 31

153

As of Date - 3 to As of Date - 32

144

As of Date - 4 to As of Date - 33

140

A 

10001 

102,000 

102,125 

102,250 

102,375 

102,500 

102,625 

102,750 

102,875 

103,000 

103,125 

103,250 

103,375 

103,500 

103,625 

103,750 

10296

23,500

23,550

23,600

23,650

23,700

23,750

23,800

23,850

23,900

23,950

24,000

24,050

24,100

24,150

24,200

B

31652

65,877

59,259

59,234

59,209

59,184

59,159

59,134

59,109

59,084

59,059

59,034

59,009

58,984

58,959

58,934

A 

10001 

102,250 

102,375 

102,500 

102,625 

102,750 

102,875 

103,000 

103,125 

103,250 

103,375 

103,500 

95136 

10296

23,600

23,650

23,700

23,750

23,800

23,850

23,900

23,950

24,000

24,050

24,100

22721

B

31652

60,553

59,209

59,184

59,159

59,134

59,109

59,084

59,059

59,034

59,009

58,984

56931

A

10001 

103,750 

95,136 

8,615 

100,000 

3,750 

95,136 

4,865 

3,750 

10296

24,200

22,721

1,480

24,200

22,721

1,480

B

31652

58,934

56,931

2,003

58,934

56,931

2,003

Cap. 155 sub. leg. Q

Banking (Liquidity) Rules

January 2018

BCBS 238

Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools

January 2013

 1

HKMA - HQLA Haircuts

Definition of haircuts for Level 1 assets held in HKD, USD, Euro, JPY, and GBP and Level 2 assets held in all currencies.

The haircuts on high-quality liquid assets are predefined as part of these assumptions. This assumption applies a 0% haircut on level 1 HKD denominated assets, 15% on level 2A assets, 25% on level 2B RMBS assets, and 50% on level 2B non-RMBS assets.

Schedule 4A- Table 1, Table 2

 2

HKMA-HQLA Level 1 Haircuts for other currencies

Definition of haircuts for Level 1 assets held in currencies other than HKD, USD, Euro, JPY, and GBP.

 3

HKMA-Secured Lending Inflows

Inflows from secured lending transactions excluding collateral swaps.

The inflow rates on the secured lending, excluding collateral swaps, are predefined as part of this assumption. This assumption applies the regulatory inflows to secured lending transactions based on the asset level of the collateral received in the form of rollover rates, that is, 1 - run-off rates. A 0% inflow rate is applied to assets used for covering short positions.

BCBS 238- Para 145- 146HKMA LCR Return template- 1,2 and 3

 4

HKMA-Collateral Swap Inflows

Inflows from collateral swap transactions.

The inflow rates on collateral swaps are predefined as part of this assumption. This assumption applies the inflows applicable to the market value of placed collateral, when the collateral placed under a swap transaction is of a higher quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. A 0% inflow rate is applied when the underlying asset received is used for covering short positions.

 5

HKMA-Drawdowns on Committed Funding Facilities

Drawdowns on committed credit and liquidity facilities extended to banks.

The inflow rate on the undrawn amount available to be drawn down, on the committed credit and liquidity facilities received by the bank, is predefined as part of this assumption. This assumption applies a 0% inflow rate on the credit and liquidity lines received by the bank.

HKMA LCR Return template- 7
BCBS 248 Para 149

 6

HKMA-Other Inflows from Retail Counterparties

This assumption rollovers 50 percent of cash flows for principal cash type of fully performing loans and leases.

The inflow rate on the fully performing loans with a stated maturity, extended to retail customers and SMEs who are treated like retail customers for the purposes of LCR, is predefined as part of this assumption. This assumption applies a 50% rollover, that is, 50% inflow on performing retail loans.

BCBS 238 Para 150 to 151, 153
HKMA LCR Return template- 4.b.(iii) and (iv)

 7

HKMA-Other Inflows from WSME, NFC, Sov, CB, MDB and PSE

Other inflows from fully performing loans, which have a specified maturity and are extended to small and medium enterprises treated as wholesale (WSME), non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and public sector enterprises.

The inflow rate on the fully performing loans with a stated maturity, extended to wholesale SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and public sector enterprises is predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% inflow on performing loans from central banks and a 50% rollover, that is, 50% inflow on those from other non-financial counterparties specified earlier.

BCBS 238 Para 150 to 151, 154
HKMA LCR Return template- 4.b.(i), (ii) and (v)

 8

HKMA-Other Inf from Other Wholesale Counter parties

Other Inflows from Other Wholesale Counterparties.

The inflow rate on the fully performing loans with a stated maturity, extended to counterparties other than retail, SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and public sector enterprises, is predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% inflow on performing loans from other financial entities and a 50% rollover, that is, 50% inflow on those from other non-financial counterparties.

 9

HKMA-Revolving, Non-Maturity and Non-Performing Inflow Excl

Exclusion of inflows from revolving products, products that do not have a specified maturity, and products that are not fully performing.

The exclusion of cash inflows from revolving assets, assets that do not have a stated maturity, and assets that are not fully performing are predefined as part of this assumption. This assumption applies a 100% rollover on the inflows from such assets.

BCBS 238 Para 151
HKMA LCR Return template- 4.a.

 10

HKMA-Other Deposit Inflows

This assumption applies zero percent rollover for Balance with Banks product-related accounts, for principal cash flow type.

This assumption applies a factor on Deposits held at other banks.

BCBS 238 Para 152
HKMA LCR Return template- 4

 11

HKMA-Open Maturity Loan Minimum Payment Inflows

Inflows due to minimum payments received within the LCR horizon on open maturity loans.

The inflow rate on the minimum payments of principal, interest, and fee, that are contractually due within the LCR horizon, on an open maturity loan, is predefined as part of this assumption. This assumption applies a 100% inflow on such minimum payments.

 12

HKMA-Operational Deposit Inflows

This assumption rollovers 100 percent cash flows for Operational balance with banks related accounts.

The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are predefined as part of this assumption. This assumption applies a 0% inflow on such operational deposits.

BCBS 238 Para 156
HKMA LCR Return template- 8

 13

HKMA-Derivative cash inflows

Net cash inflows from derivative transactions.

The inflow rate on the 30-day cash inflows from derivative transactions is predefined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives.

BCBS 238 Para 158 to 159
HKMA LCR Return template- 9

 14

HKMA-Non-HQLA Security Inflows

This assumption performs the rollover of Asset-backed securities, debt securities, Bills, Commercial paper which satisfy HQLA.

The inflow rate on the performing securities that are excluded from the stock of HQLA is predefined as part of this assumption. This assumption applies a 100% inflow on both the principal and interest cash flows from securities classified as Other Assets and securities classified as HQLA but does not meet the eligibility criteria for inclusion in the stock of HQLA. It also applies a 0% inflow rate on non-performing securities and securities that are classified as HQLA and meet the criteria for inclusion in the stock of HQLA, to avoid double counting.

BCBS 238 Para 155
HKMA LCR Return template- 6

 15

HKMA-Contractual Interest Inflows

This assumption does a zero percent rollover for interest cash flows for fully performing loans, leases, credit cards, overdraft, line of credit, a home equity line of credit, Balance with banks.

The inflow rate on the interest contractually receivable, on fully performing assets other than non-HQLA securities, within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate.

BCBS 238 Para 142, 160
HKMA LCR Return template- 10

 16

HKMA- Non lien marked stable retail deposits

Run-offs on the stable portion of non-lien marked deposits from retail customers and unsecured wholesale funding from SMEs treated as retail.

The run-off rates on the stable portion of non-lien marked deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 5% Run-off on the stable portion of retail deposits, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon.

BCBS 238 Para 75-78
HKMA LCR Return template- 1.a

 17

HKMA-Penalty Free Stable Retail and SME Runoff

Run-offs on the portion of stable term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that is treated as demand deposits.

The run-off rates on the portion of stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 5% Run-off on the portion of stable retail deposits maturing beyond the LCR horizon, that do not meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw.

BCBS 238 Para 82-84
HKMA LCR Return template- 1.c

 18

HKMA- Lien marked stable retail deposits

Runoffs on the stable portion of lien marked deposits from customers treated as retail.

This assumption defines the run-off rates on the stable portion of lien marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period are within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similarly to non-lien marked stable deposits. This assumption applies a 5% Run-off rate on the stable portion of such deposit.

Part 7 Division 5, 41 (2)

 19

HKMA- Unencumbered stable lien marked deposits

Runoffs on the unencumbered stable portion of lien marked deposits from customers treated as retail.

Runoff rates for an unencumbered stable portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered stable portion of such deposits receives a 5% Run-off rate.

 20

HKMA- Enc portion excl of retail Lien marked deposit

Runoffs on the encumbered portion of lien marked deposits from customers treated as retail.

Runoffs on the encumbered portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The encumbered portion of both stable and less stable lien marked deposits receive a 0% Run-off rate.

 21

HKMA- Non lien marked less stable deposits

Run-offs on the less stable portion of non-lien marked deposits from retail customers and unsecured wholesale funding from SMEs treated as retail.

The run-off rates on the less stable portion of non-lien marked deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon.

BCBS 238 Para 79-81
HKMA LCR Return template- 1.a

 22

HKMA-Penalty Free less Stable Retail and SME Runoff

Run-offs on the portion of less stable term deposits, from retail customers and unsecured wholesale funding (UWF) from SMEs treated as retail, that is treated as demand deposits.

The run-off rates on the portion of less stable term deposits, that are treated as demand deposits, from retail customers and SMEs who are treated like retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits maturing beyond the LCR horizon, that do not meet the deposit stability criteria and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw.

BCBS 238 Para 82-84
HKMA LCR Return template- 1.c

 23

HKMA- Lien marked less stable retail deposits

Run-offs on the stable portion of lien marked deposits from customers treated as retail.

This assumption defines the run-off rates on the less stable portion of lien marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period is within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similarly to non-lien marked less stable deposits. This assumption applies a 10% Run-off rate on the stable portion of such deposit.

Part 7 Division 5, 41 (2)

 24

HKMA- Unencumbered less stable lien marked deposits

Run-offs on the unencumbered less stable portion of lien marked deposits from customers treated as retail.

Run-off rates for an unencumbered less stable portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered less stable portion of such deposits receive a 10% Run-off rate.

 25

HKMA-Run-off on Unsecured Non-Operational Funding from SMEs

This assumption Rollovers 60 percent cash flows for deposit accounts which are part of SME.

This assumption Rollovers 60 percent of cash flows for deposit accounts from Small and medium enterprises.

107
HKMA LCR Return template- 6.a. (ii)

 26

HKMA-NFC, Sov, CB, MDB, PSE Non-operational UWF Run-off

This assumption Rollovers 60 percent cash flows for deposit accounts which are part of Corporate, MDB, PSE, Sovereign.

The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies an 80% rollover, that is, 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover, that is, 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance.

 27

HKMA- Non Lien marked TDs from Sov and others

This assumption applies runoff on EOP balance for Term deposit accounts which are part of corporates, SME, Central Bank, MDB.

The run-off rates for non-lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB, and PSE are predefined as part of this assumption. This assumption applies a 40% Run-off on all the counterparties.

Part 7 Division 5, 41 (2)

 28

HKMA- Lien marked TDs from Sov and others

This assumption applies 40 percent runoff on the EOP balance of Term Deposit accounts which are part of SME, Corporate, Sovereign, Central Bank, MDB, PSE.

The run-off rates for lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are predefined as part of this assumption. This assumption applies a 40% Run-off on all the counterparties.

 29

HKMA- Unenc part of Lien marked TDs from Sov and others

This assumption applies 40 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE, and are unsecured, non-operational, encumbrance period should be greater than liquidity horizon.

The run-off rates for the unencumbered portion of lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are predefined as part of this assumption. This assumption applies a 40% Run-off on all the counterparties.

 30

HKMA- Enc portion of Lien marked TDs from Sov and others

This assumption applies 0 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE, and are unsecured, non-operational, encumbrance period should be greater than liquidity horizon.

The run-off rates for the encumbered portion of lien marked term deposits from sovereigns, Central banks, non-financial corporates, MDB and PSE are predefined as part of this assumption. This assumption applies a 0% Run-off on all the counterparties.

 31

HKMA-NFC, Sov, CB, MDB, PSE UWF Run-off on Non-op Balance

This assumption applies 0 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE and are unsecured, operational, encumbrance period should be greater than liquidity horizon and maturity should be less than liquidity horizon.

The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies an 80% rollover, that is, 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover, that is, 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance.

 32

HKMA- Lien marked Ins TDs from Sov and others

This assumption applies a 20 percent runoff rate for lien marked fully insured TDs.

This set of assumptions treat accounts that are lien marked and fully insured term deposits 20% Run-off rate is applied for the unencumbered portion and 0% is applied for the encumbered portion.

Part 7 Division 5, 41 (2)

 33

HKMA- Unenc part of Lien marked Ins TDs from Sov and others

This assumption applies a 20 percent runoff rate for Unencumbered part of lien marked fully insured TDs.

 34

HKMA- Enc portion of Lien marked Ins TDs from Sov and others

This assumption applies 0 percent runoff rate for encumbered part of lien marked fully insured TDs.

 35

HKMA-Other Legal Entity Unsecured Wholesale Funding Run-off

Run-off on unsecured wholesale funding, from wholesale customers other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, provided for non-operational purposes.

The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from wholesale counterparties other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% Run-off on cash flows from non-operational funding accounts.

109
HKMA LCR Return template- 6.b.

 36

HKMA-UWF Run-off on Non-operational Balance of Other Ent

Run-off on the non-operational portion of unsecured wholesale funding (UWF) provided by customers other than non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs that are classified as an operational deposit.

The run-off rates on the non-operational portion of operational deposits from SME's treated as wholesale customers for the purposes of LCR, and other parties such as sovereigns, central banks, and so on are predefined as part of this assumption. This assumption applies a 20% Run-off on the non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance.

109
HKMA LCR Return template- 6.b.

 37

HKMA-Issued Debt Security Outflow

Outflows on debt securities issued by the bank itself.

The run-off rates on the debt securities issued by the bank itself are predefined as part of this assumption. This assumption applies a 90% rollover, that is, 10% Run-off on issued securities that are sold exclusively in the retail market and held in retail accounts, and 0% rollover, that is, 100% Run-off on all other issued securities.

110
HKMA LCR Return template- 7

 38

HKMA-Insured Operational Balance Run-off

Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities, that is fully covered by deposit insurance.

The run-off rates on the insured portion of the balance held in operational accounts to fulfill operational requirements are predefined as part of this assumption. This assumption applies a 3% Run-off on insured operational balances that meet the additional criteria for deposit insurance schemes and a 5% Run-off on those that do not meet the additional criteria.

93 to 104
HKMA LCR Return template- 5

 39

HKMA-Uninsured Operational Balance Run-off

Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities, that is not covered by deposit insurance.

The run-off rates on the uninsured portion of the balance held in operational accounts to fulfill operational requirements are predefined as part of this assumption. This assumption applies a 25% Run-off on operational balances that are not covered by deposit insurance.

 40

HKMA-Secured Funding Run-Off

Run-off on secured funding, excluding collateral swaps, received from sovereigns, central banks, and multilateral development banks.

The run-off rates on the secured funding, excluding collateral swaps, received from sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of rollover rates, that is, 1 - Run-off rates.

112 to 115
HKMA LCR Return template- 8 and 9

 41

HKMA-Run-off on Secured Funding From PSEs

Run-off on secured funding, excluding collateral swaps, received from PSEs.

The run-off rates on the secured funding, excluding collateral swaps, received from PSEs, are predefined as part of this assumption. This assumption applies the regulatory run-offs applicable to PSEs in the form of rollover rates, that is, 1 - Run-off rates.

 42

HKMA-Run-off on Secured Funding From Other Counterparties

Run-off on secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks, and PSEs.

The run-off rates on the secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks, and PSEs, where the transaction is backed by level 2B non-RMBS or other assets, are predefined as part of this assumption. This assumption applies the regulatory run-offs applicable to other counterparties, based on the asset quality of the placed collateral, in the form of rollover rates, that is, 1 - Run-off rates.

 43

HKMA - Collateral Swap Run-off

Run-off on collateral swap transactions.

The run-off rates on collateral swaps are predefined as part of this assumption. This assumption applies the run-offs applicable to the market value of received collateral, when the collateral received under a swap transaction is of a higher quality than the collateral placed, as the difference between the liquidity haircuts applicable to the received and placed collateral.

 44

HKMA-Derivative cash outflows

Net cash outflows from derivative transactions.

The outflow rate on the 30-day cash outflows from derivative transactions is predefined as part of this assumption. This assumption applies a 100% outflow on derivatives cash outflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives.

116 to 117
HKMA LCR Return template- 10

 45

HKMA-Additional Coll Required Due to Ratings Downgrade

Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch rating downgrade.

The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch rating downgrade, is predefined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch rating downgrade.

118
HKMA LCR Return template- 11

 46

HKMA-Loss of Re-hypothecation Right Due to Ratings Downgrade

Increased liquidity needs arising from a loss of re-hypothecation rights on assets received as collateral due to a 3-notch rating downgrade.

The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers, that result in a loss of re-hypothecation rights due to a 3-notch rating downgrade, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade.

 47

HKMA-Increased Liquidity Needs Due to Change in Coll Value

Increased liquidity needs arising from the potential change in the value of posted collateral.

The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 assets posted as collateral is predefined as part of this assumption. This assumption applies a 100% outflow on the value of non-level 1 posted collateral computed after netting the non-level 1 collateral received under re-hypothecation rights on the same transaction.

119
HKMA LCR Return template- 12

 48

HKMA-Increased Liquidity Needs Due To Excess Collateral

Increased liquidity needs arising from excess non-segregated collateral received that can be recalled by the counterparty.

The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral.

120
HKMA LCR Return template- 13

 49

HKMA-Increased Liquidity Needs from Contractually Due Coll

Increased liquidity needs arising from the collateral that is contractually required to be posted to the counterparty but has not yet been posted.

The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral.

121
HKMA LCR Return template- 15

 50

HKMA - Increased Liquidity Needs Due to Substitutable Coll

Increased liquidity needs arising from contracts that allow a counterparty to substitute lower quality collateral for the current higher quality collateral.

The outflow rate on the collateral that the counterparty can contractually substitute with lower quality collateral is predefined as part of this assumption. This assumption applies an outflow rate equal to the difference between the liquidity haircuts of collateral that can be potentially substituted by the counterparty and the collateral that substitutes it.

122
HKMA LCR Return template- 14

 51

HKMA - Increased Liquidity Needs Due to Market Val Changes

Increased liquidity needs arising from market valuation changes on derivatives and other transactions.

The outflow rate on the collateral outflows occurring due to market valuation changes on derivatives and other transactions is predefined as part of this assumption. This assumption applies a 100% outflow rate on the largest absolute net 30-day collateral flow occurring during the preceding 24 months under the historical look-back approach.

123
HKMA LCR Return template- 16

 52

HKMA - Loss of Funding on Structured Financing Instruments

Loss of funding on asset-backed securities, covered bonds, and other structured financing instruments.

The run-off rate on the maturing asset-backed securities, covered bonds, and other structured financing instruments is predefined as part of this assumption. This assumption applies a 100% run-off on structured financing instruments that mature within the LCR horizon.

124
HKMA LCR Return template- 17

 53

HKMA - Loss of Funding from Financing Facility-Maturing Debt

Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt.

The run-off rate on the maturing amounts of asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities is predefined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon.

125
HKMA LCR Return template- 18

 54

HKMA - Loss of Funding from Financing Facility-Ret of Assets

Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to potential return of assets.

The run-off rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities is predefined as part of this assumption. This assumption applies a 100% run-off on the value of the assets that are returnable within the LCR horizon.

 55

HKMA - Loss of Funding from Financing Facility - Liq Draws

Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities due to drawdown of liquidity facilities provided by the bank.

The outflow rate on the undrawn amount available to be drawn down on the liquidity facility extended to the structured financing facility is predefined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate on the liquidity facilities extended as support for structured financing purposes.

 56

HKMA-Drawdowns on Committed Credit and Liquidity Facilities

Drawdowns on committed facilities received by the bank.

The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs, and PSEs is predefined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties.

126 to 131
HKMA LCR Return template- 19

 57

HKMA-Draws on Committed Facilities Extended to Banks

Drawdowns on committed credit and liquidity facilities extended to entities other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs, and banks.

The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers is predefined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, for banks, including those subject to prudential regulation.

 58

HKMA-Draws on Committed Facilities Extended to Other Entity

Drawdowns on committed credit and liquidity facilities to other legal entities.

The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs, and banks is predefined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate to all counterparties excluding the aforementioned counterparties.

 59

HKMA-Other Contractual Obligations to Financial Institutions

Outflows related to other contractual obligations to extend funds within 30 days to financial institutions.

The outflow rate on other contractual obligations to extend funds to financial institutions, not covered in the previous assumptions, is predefined as part of this business assumption. This assumption applies a 100% outflow rate on such contractual obligations.

132
HKMA LCR Return template- 19

 60

HKMA-Other Contractual Obligations to Non-Financial Cust

Outflows related to other contractual obligations to extend funds within 30 days to retail and non-financial wholesale counterparties.

The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, in excess of 50% of contractual inflows from such customers within the LCR horizon, is predefined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount.

133
HKMA LCR Return template- 20

 61

HKMA-Other Contingent Funding Obligation Outflows

Outflows related to trade finance related instruments.

This assumption applies a 5% factor on Trade finance related instruments.

134 to 140
HKMA LCR Return template- 21

 62

HKMA-Uncommitted Facility Outflows

Drawdowns on uncommitted credit and liquidity facilities extended to customers.

The outflow rate on the undrawn amount available to be drawn down on the uncommitted credit and liquidity facilities extended to customers is predefined as part of this assumption. This assumption applies a 0% drawdown on the uncommitted facilities. The drawdown rates are allowed to be updated to reflect the rates specified by national regulators.

134 to 140
HKMA LCR Return template- 21

 63

HKMA-Outflows Related to Short Positions

Outflows related to customer and bank short positions.

The outflow rate on the customer and firm short positions is predefined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions.

147
HKMA LCR Return template- 21

 64

HKMA-Non-contractual Obligation Outflows

Outflows from non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations.

The outflow rate on the non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations is predefined as part of this assumption. This assumption applies a 0% outflow rate on non-contractual obligations. The outflow rate is allowed to be updated to reflect the rates specified by national regulators.

134 to 140
HKMA LCR Return template- 21

 65

HKMA-Contractual Interest Payment Outflows

This assumption rollovers zero percent for interest type cash flow for deposits, securities issued, borrowings, money market, line of credit received and annuity contracts.

The outflow rate on the interest payments contractually due within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% outflow on interest in the form of a 0% rollover rate.

141
HKMA LCR Return template- 21

 66

HKMA-Contractual Dividend Payment Outflows

Outflows related to contractual payments of dividends.

The outflow rate on the dividends payable within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% outflow on dividends payable.

 67

HKMA-NFC, Sov, CB, MDB, PSE UWF Runoff on Ins Non-op Bal

This assumption applies 20 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE and are unsecured, operational and maturity should be less than liquidity horizon.

The run-off rates on the non-operational portion of operational deposits from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies a 20% Run-off on the non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% Run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance.

96, 107 to 108
HKMA LCR Return template- 6.a.

 68

HKMA-NFC, Sov, CB, MDB, PSE Non-operational Run-off

Run-off on the unsecured wholesale funding (UWF), provided by non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB), and PSEs, that is not classified as an operational deposit. This is achieved by rolling over 60  percent run-off rate to beyond the LCR horizon of 30 days.

The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies an 80% rollover, that is, 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover, that is, 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance.

96, 107 to 108
HKMA LCR Return template- 6.a.

 1

LRM - HKMA - Classification Of Operational Deposits And Non-Operational Balance Computation

This rule classifies accounts as operational deposits based on guidelines and computes that portion of the EOP balance of such accounts which is truly operational in nature. These values are updated in the FSI_LRM_INSTRUMENT table.

The classification of an account as operational or non-operational as per RBI guidelines and the computation of the operational portion of the EOP balance is configured as part of this rule.

HKMA Part 7- paragraph 25

 2

LRM - HKMA - HQLA Level 1 - Cash and Central Bank Reserve

This rule reclassifies cash, banknotes, and central bank reserves, to the extent that the central bank policies allow them to be drawn down in times of stress, as HQLA Level 1 assets in accordance with the criteria specified by HKMA.

The classification of cash and central bank reserves as HQLA level 1 assets is configured as part of this rule.

HKMA Schedule 2 Part 2 1a and b

 3

LRM - HKMA - HQLA Level 1 - Sovereign, CB , PSE and MDB Issued Zero Risk Weight Securities

This rule reclassifies marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community, and multilateral development banks as HQLA Level 1 assets in accordance with the criteria specified by HKMA.

The classification of zero risk weight marketable securities issued by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community, and multilateral development banks as HQLA level 1 assets is configured as part of this rule.

HKMA Schedule 2 Part 2 1c
HKMA Schedule 2 Part 3 1

 4

LRM - HKMA - HQLA Level 1 - Sovereign, CB , PSE and MDB Guaranteed Zero Risk Weight Securities

This rule reclassifies marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community, and multilateral development banks as HQLA Level 1 assets in accordance with the criteria specified by HKMA.

The classification of zero risk weight marketable securities guaranteed by sovereigns, central banks, PSEs, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, European Community, and multilateral development banks as HQLA level 1 assets is configured as part of this rule.

HKMA Schedule 2 Part 2 1c
HKMA Schedule 2 Part 3 1

 5

LRM - HKMA - HQLA Level 1 - Sec by Sovereign and CB with Non-Zero Risk Weight in Domestic Currencies

This rule reclassifies securities issued by non-zero risk weight sovereigns and central banks as HQLA Level 1 assets in accordance with the criteria specified by HKMA.

The classification of securities issued in the domestic currency by non-zero risk weight sovereigns and central banks as HQLA level 1 assets is configured as part of this rule.

HKMA Schedule 2 Part 2 1d
HKMA Schedule 2 Part 3 2

 6

LRM - HKMA - HQLA Level 1 - Sec by Sovereign and CB with Non-Zero Risk Weight in Foreign Currency

This rule reclassifies securities issued by non-zero risk weight domestic sovereigns and central banks in foreign currency as HQLA Level 1 assets in accordance with the criteria specified by HKMA.

The classification of securities issued in foreign currencies by non-zero risk weight domestic sovereigns and central banks as HQLA level 1 assets is configured as part of this rule.

HKMA Schedule 2 Part 2 1e
HKMA Schedule 2 Part 3 3

 7

LRM - HKMA - HQLA Level 2A - Sovereign, CB , PSE and MDB 20 percent Risk Weight Securities

This rule reclassifies the non-zero risk weight securities either issued or guaranteed by Sovereign, Central Bank, PSE, and Multilateral Development Bank as HQLA Level 2A assets, in accordance with the criteria specified by HKMA.

The classification of 20% risk weight marketable securities guaranteed by sovereigns, central banks, PSEs, or multilateral development banks as HQLA Level 2A assets are configured as part of this rule.

HKMA Schedule 2 Part 2-2a
HKMA Schedule 2 Part 3 4

 8

LRM - HKMA - HQLA Level 2A - Non-Financial Corporate Bonds

This rule reclassifies debt securities other than covered bonds issued by non-financial corporates as HQLA Level 2A assets in accordance with the criteria specified by HKMA.

The classification of corporate bonds, excluding covered bonds, as HQLA Level 2A assets is configured as part of this rule.

HKMA Schedule 2 Part 2-2a
HKMA Schedule 2 Part 3 4

 9

LRM - HKMA - HQLA Level 2A - Covered Bonds

This rule reclassifies covered bonds issued by non-financial corporates as HQLA Level 2A assets in accordance with the criteria specified by HKMA.

The classification of covered bonds as HQLA Level 2A assets is configured as part of this rule.

HKMA Schedule 2 Part 2-2b&c
HKMA Schedule 2 Part 3 5&6

 10

LRM - HKMA - HQLA  Level 2B RMBS

This rule reclassifies residential mortgage-backed securities as HQLA Level 2B RMBS assets in accordance with the criteria specified by HKMA.

The classification of residential mortgage-backed securities as HQLA level 2B RMBS assets is configured as part of this rule.

HKMA Schedule 2 Part 2- 3B
HKMA Schedule 2 Part 3 8&9

 11

LRM - HKMA - HQLA Level 2B Non-RMBS - Non-Financial Corporate Bonds

This rule reclassifies debt securities issued by non-financial corporates as HQLA Level 2B Non-RMBS assets in accordance with the criteria specified by HKMA.

The classification of debt securities, including commercial papers, issued by non-financial corporates as HQLA level 2B non-RMBS assets is configured as part of this rule.

HKMA Schedule 2 Part 2- 3a
HKMA Schedule 2 Part 3-7

 12

LRM - HKMA - Bank Own Assets - Meets HQLA Operational Requirements Flag Update

This rule identifies whether the bank's own assets, both unencumbered assets as well as those placed as collateral, meet the operational requirements set forth by the regulator, except for being unencumbered in the case of placed collateral. In the case of unencumbered assets, it updates the Meets HQLA Operational Requirements Flag. In case of placed collateral, it updates the Meets HQLA Operational Requirements on Unwind Flag.

The identification of whether an asset owned by the bank meets the operational requirements set forth by BIS for its inclusion in the stock of HQLA is configured as part of this rule.

BIS Paragraphs 28 to 42

 13

LRM - HKMA - Re-hypothecated Mitigants - Meets HQLA Operational Requirements Flag Update

This rule identifies whether a rehypothecated mitigant meets the operational requirements set forth by the regulator, except for being unencumbered. It updates the Meets HQLA Operational Requirements on Unwind Flag for such mitigants.

The identification of whether collateral received from a counterparty that is further placed as collateral meets the operational requirements set forth by BIS on unwinding is configured as part of this rule.

BIS Paragraphs 28 to 42

 14

LRM - HKMA - Mitigants - Meets HQLA Operational Requirements Flag Update

This computation rule updates the HQLA Eligibility Flag for the bank’s own unencumbered assets classified as HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA. It also updates the Eligible HQLA on the Unwind flag for all assets placed as collateral that are classified as HQLA that fulfill the HQLA operational requirements on unwinding and therefore are to be unwound.

This computation rule updates the HQLA Eligibility Flag for bank’s own unencumbered assets classified as HQLA that fulfill the HQLA operational requirement.

BIS Paragraphs 28 to 42

 15

LRM - HKMA - Mitigants - Eligible High Quality Liquid Assets Flag Update

This computation rule updates the HQLA Eligibility Flag for mitigants classified as HQLA that fulfill the HQLA operational requirements and therefore can be included in the stock of HQLA.

The identification of whether a Mitigant is eligible to be included in the stock of HQLA is done as a part of this Rule.

BIS Paragraphs 28 to 42

 16

LRM - HKMA Level 1 Stock Adjustment - Secured Funding Transaction-Addition

This rule reclassifies all secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is a level 1 asset to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA, due to such an unwind, as the addition of the collateral posted.

The identification of secured funding transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 17

LRM - HKMA Level 1 Stock Adjustment - Secured Funding Transaction-Deduction

This rule reclassifies all the secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the amount received.

The identification of secured funding transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 18

LRM - HKMA Level 1 Stock Adjustment - Secured Lending Transaction-Addition

This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the addition of the amount paid.

The identification of secured lending transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 19

LRM - HKMA Level 1 Stock Adjustment - Secured Lending Transaction-Deduction

This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 1 asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the collateral received.

The identification of secured lending transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 20

LRM - HKMA Level 1 Stock Adjustment - Asset Exchange Addition

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is an HQLA and the collateral posted is a level 1 asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the addition of the collateral posted.

The identification of asset exchange transactions required to be unwound and the amount to be added to the stock of level 1 assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 21

LRM - HKMA Level 1 Stock Adjustment - Asset Exchange Deduction

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 1 asset and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the collateral received.

The identification of asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 1 assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 22

LRM - HKMA Level 2A Stock Adjustment - Secured Funding Transaction

This rule reclassifies all secured funding transactions that mature within the LCR horizon and therefore are required to be unwound, where the collateral posted is a level 2A asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA, due to such an unwind, as the addition of the collateral posted.

The identification of secured funding transactions required to be unwound and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 23

LRM - HKMA Level 2A Stock Adjustment - Secured Lending Transaction

This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2A asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the collateral received.

The identification of secured lending transactions required to be unwound and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 24

LRM - HKMA Level 2A Stock Adjustment - Asset Exchange Addition

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2A asset and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwinds as the addition of the collateral received.

The identification of asset exchange transactions required to be unwound and the amount to be added to the stock of level 2A assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 25

LRM - HKMA Level 2A Stock Adjustment - Asset Exchange Deduction

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2A asset and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the collateral received.

The identification of asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2A assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 26

LRM - HKMA Level 2B RMBS, Non-RMBS Stock Adjustment - Secured Lending Transaction

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is an HQLA and the collateral posted is a level 2A asset, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the addition of the collateral posted.

The identification of secured lending transactions required to be unwound and the amount to be deducted from the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 27

LRM - HKMA Level 2B RMBS,Non RMBS Stock Adjustment - Secured Funding Transaction

This rule reclassifies all the secured lending transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2B asset, either RMBS or non-RMBS, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the collateral received.

The identification of secured funding transactions required to be unwound and the amount to be added to the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 28

LRM - HKMA Level 2B RMBS,Non RMBS Stock Adjustment - Asset Exchange Addition

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2B asset, either RMBS or non-RMBS, and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the addition of the collateral received.

The identification of asset exchange transactions required to be unwound and the amount to be added to the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 29

LRM - HKMA Level 2B RMBS,Non RMBS Stock Adjustment - Asset Exchange Deduction

This rule reclassifies all the asset exchange transactions that mature within the LCR horizon and therefore are required to be unwound, where the mitigant received is a level 2B asset, either RMBS or non-RMBS, and the collateral posted is an HQLA, to the appropriate adjustment rule. It updates the type of adjustment to the stock of HQLA due to such an unwind as the deduction of the collateral received.

The identification of asset exchange transactions required to be unwound and the amount to be deducted from the stock of level 2B RMBS and non-RMBS assets due to such an unwind is configured as part of this rule.

BIS- Annex 1
HKMA Part 7- paragraphs 32-35

 30

LRM - NCOF Computation

This rule computes the net cash outflow over the liquidity horizon based on the regulatory formula at the legal entity level as well as a legal entity - significant currency level and updates these values in the FCT_LRM_LE_SUMMARY table.

The computation of the net cash outflows as per the regulatory formula is configured as part of this rule.

HKMA Part 7  Paragraphs 39 to 42

 31

LRM - HKMA - Level 2B Asset Cap Amount Calculation

This rule calculates the adjusted level 2B asset cap amount as per the regulatory formula using the adjusted amounts of high-quality liquid assets and updates it in the FCT_LRM_LE_SUMMARY table at both legal entity level and legal entity - significant currency level.

The computation of the adjustment for 15% cap on level 2B assets is configured as part of this rule.

HKMA Part 7- paragraphs 18-24

 32

LRM - HKMA - Level 2 Asset Cap Amount Calculation

This rule calculates the adjusted level 2 asset cap amount as per the regulatory formula using the adjusted amounts of high-quality liquid assets and the adjusted level 2B cap amount. This value is updated in the FCT_LRM_LE_SUMMARY table at both the legal entity level and legal entity - significant currency level.

The computation of the adjustment for 40% cap on Level 2 assets is configured as part of this rule.

HKMA Part 7- paragraphs 18-24

 33

LRM - Stock of High Quality Liquid Asset Computation

This rule calculates the stock of high-quality liquid assets (HQLA) and updates the value in the FCT_LRM_LE_SUMMARY table at MASh legal entity level and legal entity - significant currency level.

The computation of the stock of high-quality liquid assets is configured as part of this rule.

HKMA Part 7- paragraphs 18-24

 34

LRM - Liquidity Coverage Ratio Computation

This rule calculates the liquidity coverage ratio (LCR) at a legal entity level and legal entity - significant currency level on a solo and consolidated basis and updates the values in the FCT_LRM_LE_SUMMARY table.

The computation of the liquidity coverage ratio is configured as part of this rule.

HKMA Part 7- paragraphs 18-24