6.4.1.3 Derivatives

This section enlists all the preseeded assumptions for NSFR Derivatives.

Table 5-6 Preconfigured Derivatives Assumptions HKMA NSFR

Sl. No.	Business Assumption Name	Business Assumption Description	Regulatory Requirement Addressed	Regulatory Reference
1	HKMA ASF - Net NSFR Derivative Liabilities	[HKMA]: ASF - 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 ASF 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% ASF factor to the derivative liabilities net of derivative assets, where the net aggregate mark to the market value of the contracts is negative.	Annexure1
2	HKMA RSF - Net NSFR Derivative Assets	[HKMA]: RSF - 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 RSF 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% RSF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to the market value of the contracts is positive.	Annexure1
3	HKMA RSF - Margin for Derivatives	[HKMA]: RSF - Treatment of initial margin posted against derivative transactions.	The RSF factor applicable to the initial margin posted for the derivative contracts is predefined as part of this assumption. The assumption applies an 85% RSF factor to the initial margin posted against the derivative contracts.	Annexure1
4	HKMA ASF- Derivative Liabilities	[HKMA]: ASF- total derivative liabilities, where derivative liability includes aggregate MTM value of all the derivative contracts.	The ASF 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
5	HKMA RSF- Derivative Assets	[HKMA]: RSF- total derivative assets, where derivative assets includes aggregate positive MTM value of all the derivative contracts.	The RSF 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% RSF factor to the derivative assets, where the net aggregate mark to market value of the contracts is positive.	Annexure1
6	HKMA RSF- Cash Variation Margin Received	[HKMA]: RSF- Treatment of cash variation margin received against derivative transactions.	The RSF factor applicable to cash variation margin received against derivative transactions, is predefined as per this assumption. The assumption applies 100% RSF factor to the cash variation margin received from counterparties.	Annexure1
7	HKMA RSF- Non-Cash Variation Margin Received	[HKMA]: RSF- Treatment of variation margin other than cash, received against derivative transactions	The RSF factor applicable to variation margin other than cash received against derivative transactions is predefined as per this assumption. The assumption applies 100% RSF factor to the variation margin other than cash received from counterparties.	Annexure1
8	HKMA ASF- Variation Margin Posted	[HKMA]: RSF- Treatment of variation margin posted against derivative transactions.	The ASF factor applicable to the variation margin posted against derivative transactions is predefined as part of this assumption. The assumption applies a 100% ASF factor to the variation margin posted against the derivative contracts.	Annexure1
9	HKMA RSF- Additional Derivative Liability for RSF	[HKMA]: RSF- Additional portion of derivative liabilities to be included as part of RSF.	The RSF 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% RSF factor to the negative mark-to-mark value for the aforementioned derivative contracts.	Annexure1