HKMA Amends Rules for Calculation of LCR and NSFR by Banks
HKMA issued a circular informing all authorized institutions that the Banking (Liquidity) (Amendment) Rules 2019 (BLAR) has been published in the Gazette. The BLAR 2019 expands the scope of “level 2B assets” and “liquefiable assets” under the liquidity coverage ratio (LCR) and the liquidity maintenance ratio, respectively. It also implements a “required stable funding” factor of 5% on total derivative liabilities in calculating the net stable funding ratio (NSFR) of a category 1 institution, in addition to implementing a “required core funding” factor of 5% on total derivative liabilities for calculating the core funding ratio of a category 2A institution. Amendments in BLAR 2019 are in line with the BCBS standards, are subject to negative vetting by the Legislative Council, and shall come into effect on January 01, 2020.
Effective Date: January 01, 2020
Keywords: Asia Pacific, Hong Kong, Banking, BLAR, LCR, NSFR, Liquidity Maintenance Ratio, Liquidity Risk, Basel III, HKMA
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