1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Liquidity Coverage Ratio Calculation
  3. General Inputs

4.1 General Inputs

The LRRCHKMA Application requires the following inputs for LCR Calculation:

  • Liquidity haircut for each asset level should be provided through business assumptions, with the assumption category as valuation change, and assumption subcategory as the haircut.
  • Scenarios, which define the outflow percentage, should be defined through appropriate business assumptions. For example, Retail Deposit Runoff is defined through a business assumption with the assumption category as Incremental Cash Flow, and subcategory as Run-off.
  • Scenarios, which define the inflow percentage, should be defined through appropriate business assumptions. For example, Rollover Reverse Repo is defined through a business assumption with the assumption category as Cash Flow Movement, and subcategory as Roll Over.
  • Liquidity Horizon is specified as the Runtime Execution Parameter.