Page 30 - CCFA Journal - 8th Issue

合规 Governance 加中金融

1.1 Stock of HQLA HQLA 库存
Assets are included in the stock of HQLA must meet certain market and operational requirements. Based on liquidity level, HQLA
are composed of Level 1, Level 2A and Level 2B. Level 1 assets are considered to have highest liquidity quality, and will not subject
to liquidity haircut, which means the full market value of Level 1 assets will be included in the stock of HQLA to calculate LCR.
Level 2 assets include Level 2A and Level 2B. Level 2A will subject to 15% haircut, and Level 2B will subject to 25% for RMBS
securities and 50% for non-RMBS securities. Furthermore, L2 assets cannot be more than 40% of the total stock of HQLA where
L2B assets are subject to 15% cap.

纳入 HQLA 库存的资产必须满足一定的市场和运营要求。根据流动性级别，HQLA 由 １级、２A 级和２B 级组成。１级资
产被认为具有最高的流动性质量，并且在计算时不会因流动性不足而加以折扣。这意味着１级资产的全部市值将计入
HQLA 的库存中用以计算 LCR。 2 级资产包括 2A 级和 2B 级。 2A 级将扣减 15%，2B 级 RMBS 证券扣减 25%，2B 级非 RMBS
则扣减 50%。此外，２级资产不得超过 HQLA 总存量的 40%，其中２B 级 资产有 15% 的上限要求。

Level 1 assets include the following type of securities:
• Coins and banknotes

• Central bank reserves

• Fixed income securities issued or guaranteed by governments or other public sector entities (PSEs) and normally assigned
0% risk weight under Basel 2 Standardized Approach for credit risk

１级资产包括以下类型的证券：

• 现金储备

• 中央银行准备金
• 由政府或其他公共部门实体 (PSE) 发行或担保的固定收益证券，并且该种证券根据巴塞尔协议 2 的信用风险标准化
方法通常分配 0% 的风险权重

Level 2A assets mainly include the following type of securities:

• Fixed income securities issued or guaranteed by governments or other public sector entities (PSEs) and normally assigned
20% risk weight under Basel 2 Standardized Approach for credit risk

• Corporate Bonds or Covered Bonds with a long-term risk rating at least AA-, and the maximal price decline over 30-day
period during a relevant period of significant liquidity stress cannot exceed 10%

2A 级资产主要包括以下几种证券：

• 由政府或其他公共部门实体 (PSE) 发行或担保的固定收益证券，通常根据巴塞尔协议 2 信用风险标准化方法分配 20%
的风险权重

• 长期风险评级至少为 AA-的公司债券或资产担保债券，在流动性风险压力较大的相关时期 30 天内的最大价格跌幅
不超过 10%

Level 2B assets mainly need to satisfy the following conditions:

• RMBS securities with a long-term credit rating at least AA, and underlying mortgages have a maximal loan-to-value (LTV)
80%
• Corporate bonds (non-RMBS) with a long- term credit rating between A+ and BBB-

• For both RMBS and non-RMBS securities, the maximal price decline over 30-day period during a relevant period of
significant liquidity stress cannot exceed 20%

2B 级资产主要需要满足以下条件：

• 长期信用评级至少为 AA 的 RMBS 证券，标的抵押贷款的最大贷款估值比率（ LTV） 为 80%

• 长期信用评级在 A+和 BBB-之间的公司债券（非 RMBS)

• 对于 RMBS 和非 RMBS 证券，在重大流动性风险压力的相关期 30 天内的最大价格跌幅不能超过 20%

CCFA JOURNAL OF FINANCE August 2022
Page 30 第30页