1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Core Funding Ratio Calculation
  3. Preconfigured HKMA Regulatory CFR Scenarios
  4. Regulation Addressed through Business Assumptions
  5. Available Core Funding

7.3.1.1 Available Core Funding

This section enlists all the preseeded assumptions acting on liabilities and capital items, which receive an ACF Factor.

Table 6-4 Preconfigured ACF Assumptions HKMA CFR

Sl. No. Business Assumption Name Business Assumption Description Regulatory Requirement Addressed Regulatory Reference B1/15C S4/16C
1 HKMA ACF-Capital Items, DTL and Minority Interest HKMA ACF - Tier 1 and tier 2 capital, Deferred tax liabilities and minority interest This assumption defines the long-term funding sources with an effective maturity of one year or more, primarily tier 1 and tier 2 capital instruments along with deferred tax liability and minority interest, which are assigned a 100% ACF factor for the NSFR computation. Paragraphs 73, 79
2 HKMA ACF- Other Capital Instruments HKMA ACF - Other Capital Instruments that are not covered above This assumption defines the long-term funding sources with an effective maturity of one year or more, all the other capital instruments except tier 1 and tier 2 capital instruments along with deferred tax liability and minority interest, which are assigned a 100% ACF factor for the NSFR computation. Paragraphs 73, 79
3 HKMA ACF- Non-Bank Deposits HKMA ACF - Deposits from non-bank customers. The ACF Factors applicable to deposits, from all except banks, central banks, regional development banks, national development banks (NDB), multilateral development banks (MDB, with a remaining maturity of 1 year or less, are predefined as part of this assumption. This assumption applies a 90% ACF factor on the deposits from all except banks, central banks, regional development banks with a remaining maturity between 6 months to 1 year. It also applies an 80% ACF factor on the deposits from all except banks, central banks, regional development banks with open maturity, a remaining maturity of less than 6 months, and a remaining maturity of 1 year or more. Paragraph 75
4 HKMA ACF- Non-Bank Deposits - Cash Flow Basis HKMA ACF - Deposits from non-bank customers with a remaining maturity of more than 1 yr. and cash flow maturity of less than 1 year. The ACF Factors applicable to deposits, from all except banks, central banks, regional development banks, national development banks (NDB), multilateral development banks (MDB), with a remaining maturity of more than 1 year with cash flow maturities within 1 year, are predefined as part of this assumption. This assumption applies an 80% ACF factor on the stable portion of cash flows with cash flow maturity within 1 year and 1 year or more. Paragraph 75
5 HKMA ACF- Bank Deposits HKMA ACF - Deposits from bank customers. The ACF Factors applicable to deposits, from banks, central banks, regional development banks, national development banks (NDB), multilateral development banks (MDB, with a remaining maturity of 1 year or less , are predefined as part of this assumption. This assumption applies a 50% ACF factor on the deposits from banks, central banks, regional development banks with a remaining maturity between 6 months to 1 year. It also applies a 0% ACF factor on the deposits from banks, central banks, regional development banks with open maturity, a remaining maturity of less than 6 months, and a remaining maturity of 1 year or more. Paragraphs 76, 77, 78
6 HKMA ACF- Bank Deposits - Cash Flow Basis HKMA ACF - Deposits from bank customers with a remaining maturity of more than 1 yr. and cash flow maturity of less than 1 year. The ACF Factors applicable to deposits, from banks, central banks, regional development banks, national development banks (NDB), multilateral development banks (MDB), with a remaining maturity of more than 1 year with cash flow maturities within 1 year, are predefined as part of this assumption. This assumption applies a 0% ACF factor on the stable portion of cash flows with cash flow maturity within 1 year and 1 year or more. Paragraphs 76, 77, 78
7 HKMA ACF- Other funds - Other Parties HKMA ACF - Other funding from all customers, with residual maturity of less than 1 year. The ACF Factor applicable to all funding other than deposits, with remaining maturity less than 1 year are predefined as part of this assumption. This assumption applies a 0% ACF factor on all funding other than deposits, with a remaining maturity of less than 6 months and between 6 months to 1 year. It applies a 100% ACF factor on all funding other than deposits, with a remaining maturity of 1 year or more. Paragraphs 76, 77, 78
8 HKMA ACF- Other Funds- Other Parties- Maturity over 1 yr HKMA ACF - Other funding from all counterparties, with residual maturity of more than 1 year and cash flow maturity within 1 year. The ACF Factor applicable to all funding other than deposits, with a remaining maturity of more than 1 year with cash flow maturity within 1 year, are predefined as part of this assumption. This assumption applies a 0%, 50%, 100% ASF factor on all funding other than deposits, with cash flow maturity of less than 6 months, between 6 months to 1 year, and greater than 1 year. Paragraphs 76, 77, 78
9 HKMA ACF- Trade Date Payables HKMA ACF - Trade date payables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle. The ACF Factor applicable to trade payable cash flows arising from purchases of foreign currencies, financial instruments, and commodities expected to settle within the standard settlement cycle, are predefined in this assumption. This assumption applies a 0% ACF factor on the trade payable cash flows. Paragraph 82
10 HKMA ACF- Liabilities with Open Maturity HKMA ACF - Secured deposits and all other borrowings and which do not have a stated maturity The ACF Factor applicable to all the other funding without any stated maturity is predefined in this assumption. This assumption applies a 0% ACF factor on all the funding without any maturity. Paragraph 83
11 HKMA ACF- Borrowings and Liabilities- Maturity over 1 yr HKMA ACF - Borrowings and liabilities with residual maturities and cash flows falling beyond 1 year. The ACF Factors applicable to all other funding with a remaining maturity of greater than 1 year with cash flow maturity within 1 year, are predefined in this assumption. This assumption applies a 0% ACF factor on the cash flows. Paragraph 83
12 HKMA ACF- Debt Securities Issued HKMA ACF - Debt securities and prescribed instruments issued by the institution. The ACF Factor applicable to debt securities and prescribed instruments issued by the institution are predefined in this assumption. This assumption applies a 0% and 50% ACF factor on debt securities, with residual maturity of less than 6 months and between 6 months to 1 year, respectively. It applies a 100% ACF factor on debt securities with open maturity and maturity of 1 year or more. Paragraph 74
13 HKMA ACF- other liabilities [HKMA]: ACF-Cashflows from other liabilities not covered else where This assumption captures the interest cashflows for all the product reported elsewhere under ACF and assignes an ACF factor of 0% Paragraph 83