1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Net Stable Funding Ratio Calculation
  3. Process Flow
  4. Identifying Maturity Bands

6.2.1 Identifying Maturity Bands

One of the various dimensions used to allocate ASF and RSF factors is the maturity bucket of the instrument. For NSFR computation, maturity bands are used to allocate the factors. The HKMA NSFR band is predefined as per regulatory guidelines and has the following values:

  • Less than 6 months
  • Greater than or equal to 6 months but less than 1 year
  • Greater than or equal to one year
  • Open Maturity

All accounts will be categorized on one of these bands depending on the maturity date. Note that to categorize any product into open maturity, the LRM - Classification of Products as Open Maturity Rule should be edited and the product must be included in the rule.