Table of Contents
- Title and Copyright Information
- 1.1 Document Control
- 2 Preface
- 3 Introduction
-
4
Liquidity Coverage Ratio
Calculation
- 4.1 General Inputs
- 4.2 HKMA Specific Input - Credit Quality Grade
-
4.3
Ratio Constituents
- 4.3.1 Identification of Asset Levels
- 4.3.2 Identifying Eligible HQLA
- 4.3.3 Calculating Stock of High-Quality Liquid Assets
- 4.3.4 Classifying Operational Deposits
- 4.3.5 Insurance Allocation
- 4.3.6 Identifying Deposit Stability
- 4.3.7 Treating Lien Marked Deposits
- 4.3.8 Secured Funding
- 4.3.9 Calculating Contractually Required Collateral
- 4.3.10 Calculating Excess Collateral
- 4.3.11 Calculating Downgrade Impact Amount
- 4.3.12 Calculating Net Derivative Cash Inflows and Outflows
- 4.3.13 Calculating Twenty-Four Month Look-back Amount
- 4.3.14 Calculating Operational Amount
- 4.3.15 Calculation of HQLA Transferability Restriction
- 4.3.16 Calculating Net Cash Outflows
- 4.3.17 Consolidation
- 4.3.18 Home-Host Configuration
- 4.3.19 Calculating Liquidity Coverage Ratio
- 4.3.20 Liquidity Risk Monitoring Tools
- 4.4 Preconfigured Regulatory LCR Scenario
- 5 Liquidity Maintenance Ratio (LMR) Calculation
- 6 Net Stable Funding Ratio Calculation
- 7 Core Funding Ratio Calculation
- 8 Performance Recommendations for HKMA
- 9 HKMA Reports
- 10 Appendix A: Data Transformations/Functions used in LRRCHKMA
- 11 Appendix B: Prerequisite for HKMA LCR Batch Execution
- 12 Appendix C: User Configuration and Settings
- A OFSAA Suport