1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Ratio Constituents
  4. Liquidity Risk Monitoring Tools

4.3.20 Liquidity Risk Monitoring Tools

The HKMA Regulation prescribes five monitoring tools/metrics for better monitoring of a Bank's liquidity position. These metrics along with their objective and the prescribed returns are detailed as follows:

  1. Contractual Maturity Mismatch

    This part collects information on the funding sources that are significant to an reporting institution, and the level of concentration of such funding sources.

  2. Unencumbered Assets available for Secured Borrowing

    This part collects information on the available unencumbered assets of a reporting institution that can be, or have the potential to be, used for the purposes of secured borrowing or raising additional sources of liquidity for the reporting institution where necessary.

  3. Committed Facilities

    This part collects information on committed facilities received or granted by a reporting institution.

  4. Maturity Profile and Supplementary Information

    This part collects information on the maturity profile of the on- and off- balance sheet assets and liabilities of a reporting institution, or defined time bands, including Contractual Cash Flows and securities flows arising from such assets and liabilities and supplementary information (i.e. a reporting institution estimation of Cash Flows for selected items). Such information will be used for analyzing the reporting institution's maturity mismatch positions and assessing its potential liquidity needs under different scenarios.

  5. LCR by Significant Currencies (to be reported by Category 1 institutions only)

    This part requires a reporting institution (in the case of a category 1 institution) to report High Quality Liquid Assets (HQLA), total expected Cash Outflows and total expected Cash Inflows (before and after the application of relevant ceilings) by significant currency. Such information will facilitate the Monetary Authority's ongoing monitoring of the relevant reporting institution's potential currency mismatch position under the LCR. A currency is considered as significant if the aggregate liabilities denominated in that currency amount to 5% or more of the bank’s total liabilities. Currencies such as HKD, USD, and Renminbi are reported irrespective of whether these currencies are “significant” to the institution as measured by the 5% benchmark.