1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Ratio Constituents
  4. Identification of Asset Levels

4.3.1 Identification of Asset Levels

High-Quality Liquid Assets (HQLA) are unencumbered high-quality liquid assets, that can be easily sold or used as collaterals to obtain funds at little or no loss of value even under stress scenarios. All assets, whether owned by the bank or received from counterparties as collaterals, that meet the high quality liquid asset criteria specified by Hong Kong Monetary Authority (HKMA), are classified by the application as follows:

  • Level 1 Assets
  • Level 2A Assets
  • Level 2B RMBS Assets
  • Level 2B Non-RMBS Assets

Level1 assets can be included without limit, and Level 2 assets can only comprise 40% of the stock of HQLA. Of this, Level 2B assets can only comprise 15% of the stock of HQLA. Any asset not classified as an HQLA is considered as an Other Asset.