The table below summarises the Liquidity Coverage Ratio (LCR; percentages are factors to be multiplied by the total amount of each item).
| Item |
Factor |
| Stock of high-quality liquid assets (HQLA) |
|
|
|
| - Coins and bank notes - Qualifying marketable securities from sovereigns, central banks, public sector entities (PSEs) and multilateral development banks - Qualifying central bank reserves - Domestic sovereign or central bank debt for non-0% risk-weighted sovereigns |
100% |
|
|
| Level 2A assets: - Sovereign, central bank, multilateral development banks and PSE assets qualifying for 20% risk weighting - Qualifying corporate debt securities rated AA- or higher - Qualifying covered bonds rated AA- or higher |
85% |
| Level 2B assets (maximum of 15% of HQLA) |
|
| - Qualifying residential mortgage-backed securities (RMBS) |
75% |
| - Qualifying corporate debt securities rated between A+ and BBB- - Qualifying common equity shares - Sovereign, central bank and PSE debt securities rated BBB- or higher that do not qualify as a Level 1 or Level 2A asset. |
50% |
| Total value of stock of HQLA |
|
| Cash outflows |
|
|
|
| Demand deposits and term deposits (less than 30 days maturity): |
|
| - Stable deposits (deposit insurance scheme meets additional criteria) |
3% |
| - Stable deposits |
5% |
| - Less stable retail deposits |
10% |
| Term deposits with residual maturity greater than 30 days |
0% |
|
|
| Demand deposits and term deposits (less than 30 days maturity) provided by small business customers: |
|
| - Stable deposits |
5% |
| - Less stable deposits |
10% |
| Operational deposits generated by clearing, custody and cash management activities |
25% |
| - Portion covered by deposit insurance |
5% |
| Cooperative banks in an institutional network (qualifying deposits with the centralised institution) |
25% |
| Non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs |
40% |
| - If the entire amount fully covered by deposit insurance scheme |
20% |
| Other legal entity customers |
100% |
|
|
| - Secured funding transactions with a central bank counterparty or backed by Level 1 assets with any counterparty |
0% |
| - Secured funding transactions backed by Level 2A assets, with any counterparty |
15% |
| - Secured funding transactions backed by non-Level 1 or non-Level 2A assets, with domestic sovereigns, multilateral development banks, or domestic PSEs as a counterparty - Backed by RMBS eligible for inclusion in Level 2B |
25% |
| - Backed by other Level 2B assets |
50% |
| - All other secured funding transactions |
100% |
|
|
| Liquidity needs (eg collateral calls) related to financing transactions, derivatives and other contracts |
3 notch downgrade |
| Market valuation changes on derivatives transactions (largest absolute net 30-day collateral flows realised during the preceding 24 months) |
Look-back approach |
| Valuation changes on non-Level 1 posted collateral securing derivatives |
20% |
| Excess collateral held by a bank related to derivative transactions that could contractually be called at any time by its counterparty |
100% |
| Liquidity needs related to collateral contractually due from the reporting bank on derivatives transactions |
100% |
| Increased liquidity needs related to derivative transactions that allow collateral substitution to non-HQLA assets |
100% |
| Asset-backed commercial paper (ABCP), structured investment vehicles (SIVs), conduits, special purpose entities (SPEs) etc: - Liabilities from maturing ABCP, SIVs, SPEs etc (applied to maturing amounts and returnable assets) - Asset-backed securities (including covered bonds) applied to maturing amounts |
100% |
| Currently undrawn committed credit and liquidity facilities provided to: |
|
| - Retail and small business clients |
5% |
| - Non-financial corporates, sovereigns and central banks, multilateral development banks and PSEs |
10% for credit 30% for liquidity |
| - Banks subject to prudential supervision |
40% |
| - Other financial institutions (include securities firms, insurance companies) |
40% for credit 100% for liquidity |
| - Other legal entity customers, credit and liquidity facilities |
100% |
| Other contingent funding liabilities (such as guarantees, letters of credit, revocable credit and liquidity facilities etc) |
National discretion |
| - Trade finance |
0-5% |
| - Customer short positions covered by other customers’ collateral |
50% |
| Any additional contractual outflows |
100% |
| Net derivative cash outflows |
100% |
| Any other contractual cash outflows |
100% |
| Total cash outflows |
|
| Cash inflows |
|
| Maturing secured lending transactions backed by the following collateral: |
|
| Level 1 assets |
0% |
| Level 2A assets |
15% |
| Level 2B assets |
|
| - Eligible RMBS |
25% |
| - Other assets |
50% |
| Margin lending backed by all other collateral |
50% |
| All other assets |
100% |
| Credit or liquidity facilities provided to the reporting bank |
0% |
| Operational deposits held at other financial institutions (include deposits held at centralised institution of network of co-operative banks) |
0% |
| Other inflows by counterparty: |
|
| - Amounts to be received from retail counterparties |
50% |
| - Amounts to be received from non-financial wholesale counterparties, from transactions other than those listed in above inflow categories |
50%
|
| - Amounts to be received from financial institutions and central banks, from transactions other than those listed in above inflow categories. |
100%
|
| Net derivative cash inflows |
100% |
| Other contractual cash inflows |
National discretion |
| Total cash inflows |
|
| Total net cash outflows = Total cash outflows minus min [total cash inflows, 75% of gross outflows] |
|
| LCR = Stock of HQLA / Total net cash outflows |
|