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
  5. Identifying and Treating Level 2B Non-RMBS Assets

4.3.1.4 Identifying and Treating Level 2B Non-RMBS Assets

The application identifies the following assets as HQLA Level 2B Non-RMBS Assets:

Marketable securities which satisfy the following conditions:

  • Issued by Corporates.
  • Not an obligation of a financial institution or any of its affiliated entities.
  • Price has not decreased or haircut has not increased by more than 20% over 30 days during a relevant period of significant liquidity stress.
  • Has either a long-term credit score of 2, or if the long-term rating is not available, then a short-term credit score of 2.

Note:

The credit score is a computed value that is based on Credit ratings of the Instrument or Issuer or Guarantor of the securities. This classification process is documented in Credit Quality Grade section.

Assets classified as HQLA Level 2B Non-RMBS are assigned a 50% haircut under the regulatory scenario prescribed by HKMA.