Featured Product

    HKMA Revises Policy Manual and Returns for Reporting of Liquidity Risk

    December 31, 2019

    HKMA revised the Supervisory Policy Manual module LM-1 on regulatory framework for supervision of liquidity risk. HKMA also revised two returns and related completion instructions for reporting the statutory liquidity ratio: MA(BS)1E is return on liquidity position of an authorized institution and MA(BS)26 is the return on stable funding position of an authorized institution. The revisions were intended to update the regulatory requirements consequential to the commencement of the Banking (Liquidity) (Amendment) Rules 2019 and to incorporate certain provisions to keep pace with the latest development. The returns take effect from January 01, 2020.

    The key changes to LM-1 are to:

    • Provide guidance for authorized institutions in recognizing Basel-compliant listed ordinary shares and triple-B rated marketable debt securities as “level 2B assets” and “liquefiable assets” under the Liquidity Coverage Ratio (LCR) and the Liquidity Maintenance Ratio (LMR) respectively
    • Provide an overview of the statutory liquidity requirements in respect of the Net Stable Funding Ratio (NSFR) and the Core Funding Ratio (CFR) and explain the approach and criteria adopted by HKMA for the designation of category 2A institutions which are subject to the CFR requirements
    • Streamline the guidance on the disclosure of liquidity information by authorized institutions

    The main changes to the two returns for reporting the statutory liquidity ratios are to:

    • Include Basel-compliant listed ordinary shares and triple-B rated marketable debt securities as “level 2B assets” and “liquefiable assets” in the calculation of LCR and LMR respectively
    • Implement a required funding requirement on total derivative liabilities in the calculation of NSFR and CFR

     

    Effective Date: January 01, 2020 (Returns)

    Keywords: Asia Pacific, Hong Kong, Banking, Liquidity Risk, LCR, NSFR, Supervisory Policy Manual, Statutory Liquidity Ratio, MA(BS)26, MA(BS)1E, Reporting, Banking Liquidity Rules, HKMA

    Featured Experts
    Related Articles
    News

    ECB Allows Temporary Relief in Leverage Ratio Amid COVID-19 Pandemic

    ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.

    September 21, 2020 WebPage Regulatory News
    News

    ESAs Launch Survey on Templates for Product Disclosures Under SFDR

    ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).

    September 21, 2020 WebPage Regulatory News
    News

    ECB Proposes Integrated Reporting Framework to Reduce Burden for Banks

    ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.

    September 21, 2020 WebPage Regulatory News
    News

    ECB Finalizes Methodology to Assess CCR and A-CVA Risk of Banks

    ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.

    September 18, 2020 WebPage Regulatory News
    News

    EBA Provides Opinion on Definition of Credit Institution in CRR

    EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).

    September 18, 2020 WebPage Regulatory News
    News

    APRA Consults on Alignment of Daily Liquidity Report for Banks

    APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.

    September 17, 2020 WebPage Regulatory News
    News

    FED Releases Scenarios for Second Round of Stress Tests on Banks

    FED released hypothetical scenarios for a second round of stress tests for banks.

    September 17, 2020 WebPage Regulatory News
    News

    FED to Temporarily Revise FR Y-14 Reports to Conduct Stressed Analysis

    FED is proposing to temporarily revise the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes necessary to conduct stressed analysis in connection with the re-submission of capital plans, using data as of June 30, 2020.

    September 17, 2020 WebPage Regulatory News
    News

    FED Revises Information Collection Under Market Risk Capital Rule

    FED adopted a proposal to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314).

    September 17, 2020 WebPage Regulatory News
    News

    EBA Seeks Input on ESG Disclosure Practices of Banks

    EBA published a voluntary online survey seeking input from credit institutions on their practices and future plans for Pillar 3 disclosures on the environmental, social, and governance (ESG) risks.

    September 17, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5809