7.3.1.3 Derivatives

This section enlists all the preseeded assumptions for CFR Derivatives.

Table 6-6 Preconfigured Derivatives Assumptions HKMA CFR

Sl. No.	Business Assumption Name	Business Assumption Description	Regulatory Requirement Addressed	Regulatory Reference
1	HKMA ASF - Net CFR Derivative Liabilities	HKMA ACF - derivative liabilities net of derivative assets, where derivative liability is net of any variation margin posted and the derivative asset is net of cash margin received.	The ACF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to the market value of the contracts for an entity including any variation margin adjustment is negative, is predefined as part of this assumption. The assumption applies a 0% ACF factor to the derivative liabilities net of derivative assets, where the net aggregate mark to the market value of the contracts is negative.	Banking (Liquidity) Rules Part 3A
2	HKMA RCF - Net NSFR Derivative Assets	HKMA RCF - derivative assets net of derivative liabilities, where derivative liability is net of any variation margin posted and the derivative asset is net of cash margin received.	The RCF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to the market value of the contracts for an entity including any cash margin adjustment is positive, is predefined as part of this assumption. The assumption applies a 100% RCF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to the market value of the contracts is positive.	Banking (Liquidity) Rules Part 3A
3	HKMA ACF- Derivative Liabilities	[HKMA]: ACF- total derivative liabilities, where derivative liability includes aggregate negative MTM value of all the derivative contracts.	The ACF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to market value of the contracts for an entity including any variation margin adjustment is negative, is predefined as part of this assumption. The assumption applies a 100% ASF factor to the derivative liabilities, where the aggregate mark to market value of the contracts is negative.	Annexure1
4	HKMA RCF- Derivative Assets	[HKMA]: RCF- total derivative assets, where includes aggregate positive MTM value of all the derivative contracts.	The RCF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to market value of the contracts for an entity including any cash margin adjustment is positive, is predefined as part of this assumption. The assumption applies a 100% RCF factor to the derivative assets, where the net aggregate mark to market value of the contracts is positive.	Annexure1
5	HKMA RCF- Cash Variation Margin Received	[HKMA]: RCF- Treatment of cash variation margin received against derivative transactions.	The RCF factor applicable to cash variation margin received against derivative transactions, is predefined as per this assumption. The assumption applies 100% RCF factor to the cash variation margin received from counterparties.	Annexure1
6	HKMA RCF- Non-Cash Variation Margin Received	[HKMA]: RCF- Treatment of variation margin other than cash, received against derivative transactions.	The RCF factor applicable to variation margin other than cash received against derivative transactions, is predefined as per this assumption. The assumption applies 100% RCF factor to the variation margin other than cash received from counterparties.	Annexure1
7	HKMA ACF- Variation Margin Posted	[HKMA]: ACF- Treatment of variation margin posted against derivative transactions.	The ACF factor applicable to the variation margin posted against derivative transactions is predefined as part of this assumption. The assumption applies a 100% ACF factor to the variation margin posted against the derivative contracts.	Annexure1
8	HKMA RCF- Additional Derivative Liability for RCF	[HKMA]: RCF- Additional portion of derivative liabilities to be included as part of RCF.	The RCF factor applicable to all derivative contracts including netted derivative contracts, where the aggregate mark to market value of the contracts prior to any variation margin adjustment is negative, is predefined as part of this assumption. The assumption applies a 5% RCF factor to the negative mark-to-mark value for the aforementioned derivative contracts.	PART 3 - Sec (II) - 12
9	HKMA ACF- Foreign Branch loss	[HKMA]: ACF- it covers the overseas-incorporated institution, the earnings of its Hong Kong branch	This assumption calculates the earning of an overseas incorporated instirutes from it Hong Kong branch. It applies ACF facor of 0% for Open Maturity ,0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity	Paragraph 78

The following assumption is not preseeded as part of the LRS Liquidity Run, as it is created based on the liquidity bank rules guidelines by HKMA. However, this assumption is not required for the template replines. To get the results in the Out Of The Box Dashboard reports, you need to add this assumption in the Run.

Table 6-7 Assumption details

Sl. No.	Business Assumption Name	Business Assumption Description	Regulatory Requirement Addressed	Regulatory Reference Document: Basel Committee Banking supervision, Basel III and Cap. 155 sub. leg. Q (Banking (Liquidity) Rules)
1	HKMA RCF - Margin for Derivatives	HKMA RCF - Treatment of initial margin posted against derivative transactions.	The RCF factor applicable to the initial margin posted for the derivative contracts is predefined as part of this assumption. The assumption applies an 85% RCF factor to the initial margin posted against the derivative contracts.	Banking (Liquidity) Rules Part 3A