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

    APRA Publishes Results of Climate Risk Self-Assessment Survey

    The Australian Prudential Regulation Authority (APRA) has published the findings of its latest climate risk self-assessment survey conducted across the banking, insurance, and superannuation industries.

    August 04, 2022 WebPage Regulatory News
    News

    ACPR Publishes Updates Related to CRD IV and Covered Bonds

    The French Prudential Supervisory Authority (ACPR) published a notice related to the methods for calculating and publishing prudential ratios under the Capital Requirements Directive (CRD IV) and the minimum requirement for own funds and eligible liabilities (MREL).

    August 03, 2022 WebPage Regulatory News
    News

    BIS Paper Contributes to Debate on Regulating NBFIs and Big Techs

    The Financial Stability Institute (FSI) of the Bank for International Settlements recently published a paper proposing a framework for classifying financial stability regulation as either entity-based or activity-based.

    August 03, 2022 WebPage Regulatory News
    News

    EIOPA Publishes Guidance on Climate Change Scenarios in ORSA

    The European Insurance and Occupational Pension Authority (EIOPA) published the risk dashboard based on Solvency II data and the final version of the application guidance on climate change materiality assessments and climate change scenarios in the Own Risk and Solvency Assessment (ORSA).

    August 02, 2022 WebPage Regulatory News
    News

    EBA and ECB Respond to Proposals on Sustainability Disclosures

    The European Banking Authority (EBA) and the European Central Bank (ECB) published their responses to the consultations of the International Sustainability Standards Board (ISSB) and the European Financial Reporting Advisory Group (EFRAG) on sustainability-related disclosure standards.

    August 01, 2022 WebPage Regulatory News
    News

    BIS Report Notes Existing Gaps in Climate Risk Data at Central Banks

    A Consultative Group on Risk Management (CGRM) at the Bank for International Settlements (BIS) published a report that examines incorporation of climate risks into the international reserve management framework.

    July 29, 2022 WebPage Regulatory News
    News

    EBA Publishes Multiple Regulatory Updates for Regulated Entities

    The European Banking Authority (EBA) published the final guidelines on liquidity requirements exemption for investment firms, updated version of its 5.2 filing rules document for supervisory reporting, and Single Rulebook Question and Answer (Q&A) updates in July 2022.

    July 29, 2022 WebPage Regulatory News
    News

    EIOPA Issues SII Taxonomy and Guide on Sustainability Preferences

    The European Insurance and Occupational Pensions Authority (EIOPA) published Version 2.8.0 of the Solvency II data point model (DPM) and XBRL taxonomy.

    July 29, 2022 WebPage Regulatory News
    News

    EESC Opines on Proposals on CRR and European Single Access Point

    The European Union published, in the Official Journal of the European Union, an opinion from the European Economic and Social Committee (EESC); the opinion is on the proposal for a regulation to amend the Capital Requirements Regulation (CRR).

    July 29, 2022 WebPage Regulatory News
    News

    HM Treasury Publishes Multiple Regulatory Updates in July 2022

    HM Treasury published a draft statutory instrument titled “The Financial Services (Miscellaneous Amendments) (EU Exit) Regulations 2022,” along with the related explanatory memorandum and impact assessment.

    July 29, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8423