4.4.1 Regulation Addressed through Business Assumptions
The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified scenario parameters such as HQLA haircuts, inflow and outflow percentage/rates, and so on. The list of pre-configured business assumptions and reference to the corresponding regulatory requirement that it addresses is provided in the following table.
Table 3-10 Preconfigured HKMA LCR Business Assumptions
| Sl. No. | Business Assumption Name | Business Assumption Description | Regulatory Requirement Addressed | Regulatory Reference 1. HKMA Banking (Liquidity) Rules Capital 155 Sub leg Q 2. BIS BCBS 238- Basel iii - LCR and Liquidity Risk Monitoring Tools 3. MA(BS) 1 |
|---|---|---|---|---|
| 1 | HKMA - HQLA Haircuts | Definition of haircuts for Level 1 assets held in HKD, USD, Euro, JPY, and GBP and Level 2 assets held in all currencies. | The haircuts on High-Quality Liquid Assets are predefined as part of these assumptions. This assumption applies a 0% haircut on level 1 HKD denominated assets, 15% on level 2A assets, 25% on level 2B RMBS assets, and 50% on level 2B non-RMBS assets. | Schedule 4A- Table 1, Table 2 |
| 2 | HKMA-HQLA Level 1 Haircuts for other currencies | Definition of haircuts for Level 1 assets held in currencies other than HKD, USD, Euro, JPY, and GBP. | ||
| 3 | HKMA-Secured Lending Inflows | Inflows from secured lending transactions excluding collateral swaps. | The inflow rates on the secured lending, excluding collateral swaps, are predefined as part of this assumption. This assumption applies the regulatory inflows to secured lending transactions based on the asset level of the collateral received in the form of rollover rates, that is, 1 – run-off rates. A 0% Inflow Rate is applied to assets used for covering short positions. |
BCBS 238- Para 145- 146 Completion Instruction- C 1, C2 and C 3 |
| 4 | HKMA-Collateral Swap Inflows | Inflows from collateral swap transactions. | The inflow rates on collateral swaps are predefined as part of this assumption. This assumption applies the inflows applicable to the market value of placed collateral, when the collateral placed under a swap transaction is of a higher quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. A 0% inflow rate is applied when the underlying asset received is used for covering short positions. | |
| 5 | HKMA-Drawdowns on Committed Funding Facilities | Drawdowns on committed credit and liquidity facilities extended to banks. | The inflow rate on the undrawn amount available to be drawn down, on the committed credit and liquidity facilities received by the bank, is predefined as part of this assumption. This assumption applies a 0% inflow rate on the credit and liquidity lines received by the bank. |
BCBS 248 Para 149 Completion Instruction- C 7 |
| 6 | HKMA-Other Inflows from FIs | Other inflows from Financial Institutions | The inflow rate on the fully performing loans with a stated maturity, extended to financial institutions, is predefined as part of this assumption. This assumption applies a 0% rollover, that is 100% inflow on performing loans from other financial entities. |
BCBS 238 Para 150 to 151, 154 Completion Instruction- C 4 |
| 7 | HKMA-Other Inflows from Retail Counterparties | This assumption rollovers 50 percent of cashflows for principal cash type of fully performing loans and leases. | The inflow rate on the fully performing loans with a stated maturity, extended to retail customers and SMEs who are treated like retail customers for the purposes of LCR, is predefined as part of this assumption. This assumption applies a 50% rollover, that is, 50% inflow on performing retail loans. |
BCBS 238 Para 150 to 151, 153 Completion Instruction- C 4 |
| 8 | HKMA-Other Inflows from WSME, NFC, Sov, CB, MDB and PSE | Other inflows from fully performing loans, which have a specified maturity and are extended to small and medium enterprises treated as wholesale (WSME), non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and public sector enterprises. | The inflow rate on the fully performing loans with a stated maturity, extended to wholesale SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and public sector enterprises is predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% inflow on performing loans from Central Banks and a 50% rollover, that is, 50% inflow on those from other non-financial counterparties specified earlier. |
BCBS 238 Para 150 to 151, 154 Completion Instruction- C 4 |
| 9 | HKMA-Other Inf from Other Wholesale Counter parties | Other Inflows from Other Wholesale Counterparties. | The inflow rate on the fully performing loans with a stated maturity, extended to counterparties other than retail, SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, and public sector enterprises, is predefined as part of this assumption. This assumption applies a 50% rollover, that is, 50% inflow on those from other non-financial counterparties. | |
| 10 | HKMA-Revolving, Non-Maturity and Non-Performing Inflow Excl | Exclusion of inflows from revolving products, products that do not have a specified maturity, and products that are not fully performing. | The exclusion of cash inflows from Revolving Assets, assets that do not have a stated maturity, and assets that are not fully performing are predefined as part of this assumption. This assumption applies a 100% rollover on the inflows from such assets. |
BCBS 238 Para 151 Completion Instruction- C 4 |
| 11 | HKMA-Release of bal held in segregate acc from CB retail SME | The assets received from the customer under investor protection regulations are maintained in the segregated account as cash inflows under this item. | For such assets, which are kept in segregated account for investor protection, 0% run off rate is considered for counterparty as Central Bank and 50% for all other counterparties. |
BCBS 238 Para 155 Completion Instruction- C 5
|
| 12 | HKMA-Release of bal held in segregate acc from oth wholesale | The assets received from the customer under investor protection regulations are maintained in the segregated account as cash inflows under this item. | For such assets, which are kept in segregated account for investor protection, 0% rate is considered for counterparty as Central Bank and 50% for all other counterparties. |
BCBS 238 Para 155 Completion Instruction- C 5 |
| 13 | HKMA-Other Deposit Inflows | This assumption applies zero percent rollover for Balance with Banks product-related accounts, for principal cashflow type. | This assumption applies a factor on Deposits held at other banks. |
BCBS 238 Para 152 Completion Instruction- C 4 |
| 14 | HKMA-Open Maturity Loan Minimum Payment Inflows | Inflows due to minimum payments received within the LCR horizon on Open Maturity Loans. | The inflow rate on the minimum payments of principal, interest, and fee, that are contractually due within the LCR horizon, on an Open Maturity Loan, is predefined as part of this assumption. This assumption applies a 100% inflow on such minimum payments with Central Bank and 50% inflow with retail. | |
| 15 | HKMA-Operational Deposit Inflows | This assumption rollovers 100 percent cash flows for Operational balance with banks related accounts. | The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are predefined as part of this assumption. This assumption applies a 0% inflow on such operational deposits. |
BCBS 238 Para 156 Completion Instruction- C.8 |
| 16 | HKMA-Derivative cash inflows | Net cash inflows from derivative transactions. | The inflow rate on the 30-day cash inflows from derivative transactions is predefined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives, which are part of a netting agreement, and on a non-net basis for other derivatives. |
BCBS 238 Para 158 to 159 Completion Instruction- C.9 |
| 17 | HKMA-Non-HQLA Security Inflows | This assumption performs the rollover of Asset-backed securities, debt securities, Bills, Commercial paper that satisfy HQLA. | The inflow rate on the performing securities that are excluded from the stock of HQLA is predefined as part of this assumption. This assumption applies a 100% inflow on both the principal and interest cash flows from securities classified as Other Assets and securities classified as HQLA but does not meet the eligibility criteria for inclusion in the stock of HQLA. It also applies a 0% inflow rate on non-performing securities and securities that are classified as HQLA and meet the criteria for inclusion in the stock of HQLA, to avoid double counting. |
BCBS 238 Para 155 Completion Instruction- C.6 |
| 18 | HKMA-Contractual Interest Inflows from CB, FIs, Retail SME | This assumption applies a zero percent rollover for interest cash flows for fully performing loans, leases, credit cards, overdraft, line of credit, a home equity line of credit, Balance with banks. | The inflow rate on the interest contractually receivable, on fully performing assets other than non-HQLA securities, within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate for Central Banks and FIs and 50% for other counterparties. |
BCBS 238 Para 142, 160 Completion Instruction- C.10 |
| 19 | HKMA-Contractual Interest Inflows from other wholesale | This assumption applies a zero percent rollover for interest cash flows for fully performing loans, leases, credit cards, overdraft, line of credit, a home equity line of credit, and balance with banks. | The inflow rate on the interest contractually receivable, on fully performing assets other than non-HQLA securities, within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate for Central Banks and financial institutions and 50% for other counterparties. |
BCBS 238 Para 142, 160 Completion Instruction- C.10 |
| 20 | HKMA-Contractual dividend Inflows from CB,FIs,retail SME | This assumption applies a zero percent rollover for dividend cash flows arising from Issued Common Equity, Issued Cumulative Preference Shares, and Issued Non-Cumulative Preference Shares. | The inflow rate on the dividend receivable within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate for Central Banks and financial institutions and 50% inflow for other counterparties. |
BCBS 238 Para 142, 160 Completion Instruction- C.10 |
| 21 | HKMA-Contractual dividend Inflows from other wholesale | This assumption applies a zero percent rollover for dividend cash flows arising from Issued Common Equity, Issued Cumulative Preference Shares, and Issued Non-Cumulative Preference Shares. | The inflow rate on the dividend receivable within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% inflow on the interest in the form of a 0% rollover rate for Central Banks and financial institutions and 50% for other counterparties. |
BCBS 238 Para 142, 160 Completion Instruction- C.10 |
| 22 | HKMA-domestic Non lien marked stable retail deposits | Run-offs on the stable portion of non-lien marked deposits from retail customers. | The run-off rates on the stable portion of non-lien marked deposits from retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 5% Run-off on the stable portion of retail deposits, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 75-78 Completion Instruction- B.1 |
| 23 | HKMA-Domestic Penalty Free Stable Retail deposit Runoff | Run-offs on the portion of stable term deposits, from retail that is treated as demand deposits. | The run-off rates on the portion of stable term deposits, that are treated as demand deposits, from retail customers are predefined as part of this assumption. This assumption applies a 5% Run-off on the portion of stable retail deposits maturing beyond the LCR horizon that do not meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.1 |
| 24 | HKMA-domestic Lien marked stable retail deposits | Runoffs on the stable portion of lien marked deposits from customers treated as retail. | This assumption defines the run-off rates on the stable portion of lien-marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period are within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similarly to non-lien marked stable deposits. This assumption applies a 5% run-off rate on the stable portion of such deposit. |
Part 7 Division 5, 41 (2) Completion Instruction- B.1 |
| 25 | HKMA- domestic Unencumbered stable lien marked deposits | Runoffs on the unencumbered stable portion of lien marked deposits from customers treated as retail. | Runoff rates for an unencumbered stable portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered stable portion of such deposits receives a 5% run-off rate. | |
| 26 | HKMA- Domestic Enc portion excl of retail Lien marked deposit | Runoffs on the encumbered portion of lien marked deposits from customers treated as retail. | Run-offs on the encumbered portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The encumbered portion of both stable and less stable lien marked deposits receive a 0% run-off rate. | |
| 27 | HKMA- Domestic Non lien marked less stable deposits | Run-offs on the less stable portion of non-lien marked deposits from retail customers | The run-off rates on the less stable portion of non-lien marked deposits from retail customers are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 79-81 Completion Instruction- B.1 |
| 28 | HKMA-Domestic Penalty Free less Stable Retail | Run-offs on the portion of less stable term deposits, from retail customers, that is treated as demand deposits. | The run-off rates on the portion of less stable term deposits, that are treated as demand deposits, from retail customers are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits maturing beyond the LCR horizon that do not meet the deposit stability criteria and can be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.1 |
| 29 | HKMA- Domestic Lien marked less stable retail deposits | Run-offs on the stable portion of lien marked deposits from customers treated as retail. | This assumption defines the run-off rates on the less stable portion of lien marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period are within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similarly to non-lien marked less stable deposits. This assumption applies a 10% run-off rate on the stable portion of such deposit. |
Part 7 Division 5, 41 (2) Completion Instruction- B.1 |
| 30 | HKMA- Domestic Unencumbered less stable lien marked deposits | Run-offs on the unencumbered less stable portion of lien-marked deposits from customers treated as retail. | Run-off rates for an unencumbered less stable portion of lien-marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered less stable portion of such deposits receive a 10% run-off rate. | |
| 31 | HKMA-overseas Non lien marked stable retail deposits | Run-offs on the stable portion of non-lien marked deposits from retail customers | The run-off rates on the stable portion of non-lien marked deposits from retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 5% Run-off on the stable portion of retail deposits, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 75-78 Completion Instruction- B.2 |
| 32 | HKMA-Overseas Penalty Free Stable Retail deposit Runoff | Run-offs on the portion of stable term deposits, from retail that is treated as demand deposits. | The run-off rates on the portion of stable term deposits, that are treated as demand deposits, from retail customers are predefined as part of this assumption. This assumption applies a 5% Run-off on the portion of stable retail deposits maturing beyond the LCR horizon that do not meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause stating that the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.2 |
| 33 | HKMA- Overseas Lien marked stable retail deposits | Run-offs on the stable portion of lien marked deposits from customers treated as retail. | The run-off rates on the stable portion of Lien Marked Deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period are within the LCR horizon, are predefined as part of this assumption. Since such deposits can be withdrawn within the horizon, these are treated similarly to Non-Lien Marked Stable Deposits. This assumption applies a 5% run-off rate on the stable portion of such deposit. |
Part 7 Division 5, 41 (2) Completion Instruction- B.2 |
| 34 | HKMA-overseas Unencumbered stable lien marked deposits | Runoffs on the unencumbered stable portion of lien marked deposits from customers treated as retail. | Runoff rates for an unencumbered stable portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered stable portion of such deposits receives a 5% Run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.2 |
| 35 | HKMA-overseas Enc portion excl of retail Lien marked deposit | Runoffs on the encumbered portion of lien marked deposits from customers treated as retail. | Runoffs on the encumbered portion of lien marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon, is defined as a part of this assumption. The encumbered portion of both stable and less stable lien marked deposits receive a 0% run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.2 |
| 36 | HKMA-overseas Non lien marked less stable deposits | Run-offs on the less stable portion of non-lien marked deposits from retail customers | The run-off rates on the less stable portion of non-lien marked deposits from retail customers are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 79-81 Completion Instruction- B.2 |
| 37 | HKMA-Overseas Penalty Free less Stable Retail | Run-offs on the portion of less stable term deposits, from retail customers, that is treated as demand deposits. | The run-off rates on the portion of less stable term deposits, that are treated as demand deposits, from retail customers are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits maturing beyond the LCR horizon that do not meet the deposit stability criteria and can be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.2 |
| 38 | HKMA- Overseas Lien marked less stable retail deposits | Run-offs on the stable portion of lien marked deposits from customers treated as retail. | This assumption defines the run-off rates on the less stable portion of lien marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period is within the LCR horizon. Since such deposits can be withdrawn within the horizon, these are treated similarly to non-lien marked less stable deposits. This assumption applies a 10% run-off rate on the stable portion of such deposits. |
Part 7 Division 5, 41 (2) Completion Instruction- B.2 |
| 39 | HKMA-overseas Unencumbered less stable lien marked deposits | Run-offs on the unencumbered less stable portion of lien-marked deposits from customers treated as retail. | Run-off rates for an unencumbered less stable portion of lien-marked deposits from customers treated as retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The unencumbered less stable portion of such deposits receive a 10% run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.2 |
| 40 | HKMA- domestic Non lien marked stable SME deposits | Run-offs on the stable portion of non-lien marked deposits from SME retail customers | The run-off rates on the stable portion of non-lien marked deposits from SMEs treated as retail customers for the purposes of LCR are predefined as part of this assumption. This assumption applies a 5% Run-off on the stable portion of retail deposits, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 75-78 Completion Instruction- B.3 |
| 41 | HKMA-domestic Penalty Free Stable SME and SME Runoff | Run-offs on the portion of stable term deposits, from unsecured wholesale funding (UWF) from SMEs treated as retail that is treated as demand deposits. | The run-off rates on the portion of stable term deposits, that are treated as demand deposits from SMEs treated as retail customers for the purpose of LCR are predefined as part of this assumption. This assumption applies a 5% Run-off on the portion of stable retail deposits maturing beyond the LCR horizon that do not meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause stating that the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.3 |
| 42 | HKMA- domestic Lien marked stable retail deposits | Runoffs on the stable portion of lien marked deposits from customers treated as retail. | The run-off rates on the stable portion of lien marked deposits from all customers treated as retail, wherein the deposit maturity and the encumbrance period are within the LCR horizon, are predefined as part of this assumption. Since such deposits can be withdrawn within the horizon, these are treated as non-lien marked stable deposits. This assumption applies a 5% run-off rate on the stable portion of such deposits. |
Part 7 Division 5, 41 (2) Completion Instruction- B.3 |
| 43 | HKMA- domestic Unencumbered stable lien marked SME deposits | Runoffs on the unencumbered stable portion of lien marked deposits from customers treated as SME retail. | Run-off rates for unencumbered stable portion of lien marked deposits from customers treated as SME retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon, are defined as a part of this assumption. The unencumbered stable portion of such deposits receives a 5% run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.3 |
| 44 | HKMA- domestic Enc portion excl of SME Lien marked deposit | Runoffs on the encumbered portion of lien marked deposits from customers treated as SME retail. | Run-offs on the encumbered portion of lien marked deposits from customers treated as SME retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The encumbered portion of both stable and less stable lien marked deposits receive a 0% Run-off Rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.3 |
| 45 | HKMA- Domestic Non lien marked less stable SME deposits | Run-offs on the less stable portion of non-lien marked deposits from unsecured wholesale funding from SMEs treated as retail. | Run-off rates on the less stable portion of non-lien marked deposits from SMEs treated as retail customers for the purpose of LCR are predefined as part of this assumption. This assumption applies a 10% Run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 79-81 Completion Instruction- B.3 |
| 46 | HKMA-domestic Penalty Free less Stable SME and SME Runoff | Run-offs on the portion of less stable term deposits, from retail customers, that treated as demand deposits. | The run-off rates on the portion of less stable term deposits, that are treated as demand deposits, from SMEs treated as retail customers for the purpose of LCR, are predefined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits maturing beyond the LCR horizon that do not meet the deposit stability criteria and can be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause stating that the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.3 |
| 47 | HKMA- domestic Lien marked less stable SME deposits | Run-offs on the stable portion of lien marked deposits from customers treated as SME retail. | The run-off rates on the less stable portion of lien marked deposits from all customers treated as SME retail, wherein the deposit maturity and the encumbrance period is within the LCR horizon, are predefined as part of this assumption. Since such deposits can be withdrawn within the horizon, these are treated as non-lien marked less stable deposits. This assumption applies a 10% run-off rate on the stable portion of such deposits. |
Part 7 Division 5, 41 (2) Completion Instruction- B.3 |
| 48 | HKMA- Domestic Unencumbered less stable lien marked SME | Run-offs on the unencumbered less stable portion of lien-marked deposits from customers treated as SME retail. | Run-off rates for an unencumbered less stable portion of lien-marked deposits from customers treated as SME retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon, are predefined as part of this assumption. The unencumbered less stable portion of such deposits receive a 10% run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.3 |
| 49 | HKMA- Overseas Non lien marked stable SME deposits | Run-offs on the stable portion of non-lien marked deposits from SME retail customers | The run-off rates on the stable portion of non-lien marked deposits from SMEs treated as retail customers for the purpose of LCR are predefined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits, and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 75-78 Completion Instruction- B.4 |
| 50 | HKMA-overseas Penalty Free Stable SME and SME Runoff | Run-offs on the portion of stable term deposits, from Unsecured Wholesale Funding (UWF) from SMEs treated as retail that is treated as demand deposits. | The run-off rates on the portion of stable term deposits, treated as demand deposits, from SMEs treated as retail customers for the purpose of LCR are predefined as part of this assumption. This assumption applies a 5% run-off on the portion of stable retail deposits maturing beyond the LCR horizon that do not meet additional criteria for deposit insurance schemes and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.4 |
| 51 | HKMA- overseas Lien marked stable SME deposits | Runoffs on the stable portion of lien marked deposits from customers treated as SME retail. | The run-off rates on the stable portion of lien marked deposits from all customers treated as SME retail, wherein the deposit maturity and the encumbrance period are within the LCR horizon, are predefined as part of this assumption. Since such deposits can be withdrawn within the horizon, these are treated similarly to non-lien marked stable deposits. This assumption applies a 5% run-off rate on the stable portion of such deposit. |
Part 7 Division 5, 41 (2) Completion Instruction- B.4 |
| 52 | HKMA- overseas Enc portion excl of SME Lien marked deposit | Run-offs on the encumbered portion of lien marked deposits from customers treated as SME retail. | Run-offs on the encumbered portion of lien marked deposits from customers treated as SME retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon is defined as a part of this assumption. The encumbered portion of both stable and less stable lien marked deposits receive a 0% run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.4 |
| 53 | HKMA- overseas Non lien marked stable SME deposits | Run-offs on the less stable portion of non-lien marked deposits from unsecured wholesale funding from SMEs treated as SME retail. | The run-off rates on the less stable portion of non-lien marked deposits from SMEs treated as retail customers for the purpose of LCR, are predefined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits that do not meet the deposit stability criteria and either mature or result in early withdrawal, without incurring a significant penalty, within the LCR horizon. |
BCBS 238 Para 79-81 Completion Instruction- B.4 |
| 54 | HKMA-overseas Penalty Free less Stable SME Runoff interest | Run-offs on the portion of less stable term deposits, from retail customers, that is treated as demand deposits. | The run-off rates on the portion of less stable term deposits, treated as demand deposits, from SMEs treated as retail customers for the purpose of LCR, are predefined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits maturing beyond the LCR horizon that do not meet the deposit stability criteria and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw. |
BCBS 238 Para 82-84 Completion Instruction- B.4 |
| 55 | HKMA- overseas Lien marked less stable SME deposits | Run-offs on the stable portion of lien marked deposits from customers treated as SME retail. | The run-off rates on the less stable portion of lien marked deposits from all customers treated as SME retail, wherein the deposit maturity and the encumbrance period is within the LCR horizon, are predefined as part of this assumption. Since such deposits can be withdrawn within the horizon, these are treated as non-lien marked less stable deposits. This assumption applies a 10% run-off rate on the stable portion of such deposit. |
Part 7 Division 5, 41 (2) Completion Instruction- B.4 |
| 56 | HKMA- overseas Unencumbered less stable lien marked SME depo | Run-offs on the unencumbered less stable portion of lien-marked deposits from customers treated as SME retail. | The run-off rates for an unencumbered less stable portion of lien-marked deposits from customers treated as SME retail wherein the deposit maturity is within the horizon, but the encumbrance period is beyond the LCR horizon, are defined as a part of this assumption. The unencumbered less stable portion of such deposits receive a 10% run-off rate. |
Part 7 Division 5, 41 (2) Completion Instruction- B.4 |
| 57 | HKMA-Run-off on Unsecured Non-Operational Funding interest cashflow | This assumption Rollovers 60 percent cash flows for deposit accounts, which are part of SME. | This assumption Rollovers 60 percent of cash flows for deposit accounts from Small and medium enterprises. |
107 Completion Instruction- B.6 |
| 58 | HKMA-NFC, Sov, CB, MDB, PSE Non-operational UWF Run-off | These assumption Rollovers 60 percent cash flows for deposit accounts, which are part of Corporate, MDB, PSE, Sovereign. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from non-financial corporates, sovereigns, Central Banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies an 80% rollover, that is, 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover, that is, 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | |
| 59 | HKMA- Non Lien marked TDs from Sov and others | This assumption applies runoff on EOP balance for Term deposit accounts, which are part of corporates, SME, Central Bank, MDB. | The run-off rates for non-lien marked term deposits from sovereigns, Central Banks, non-financial corporates, MDB, and PSE are predefined as part of this assumption. This assumption applies a 40% Run-off on all the counterparties. |
Part 7 Division 5, 41 (2) Completion Instruction- B.6 |
| 60 | HKMA- Lien marked TDs from Sov and others | This assumption applies 40 percent runoff on the EOP balance of Term Deposit accounts, which are part of SME, Corporate, Sovereign, Central Bank, MDB, PSE. | The run-off rates for lien marked term deposits from sovereigns, Central Banks, non-financial corporates, MDB and PSE are predefined as part of this assumption. This assumption applies a 40% Run-off on all the counterparties. | |
| 61 | HKMA- Unenc part of Lien marked TDs from Sov and others | This assumption applies 40 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE, and are unsecured, non-operational, encumbrance period should be greater than liquidity horizon. | The run-off rates for the unencumbered portion of lien marked term deposits from sovereigns, Central Banks, non-financial corporates, MDB and PSE are predefined as part of this assumption. This assumption applies a 40% Run-off on all the counterparties. | |
| 62 | HKMA- Enc portion of Lien marked TDs from Sov and others | This assumption applies 0 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE, and are unsecured, non-operational, encumbrance period should be greater than liquidity horizon. | The run-off rates for the encumbered portion of lien marked term deposits from sovereigns, Central Banks, Non-Financial Corporates, MDB and PSE are predefined as part of this assumption. This assumption applies a 0% Run-off on all the counterparties. | |
| 63 | HKMA-NFC, Sov, CB, MDB, PSE UWF Run-off on Non-op Balance | This assumption applies 0 percent runoff on Term deposits which are part of SME, Corporates, MDB, PSE and are unsecured, operational, encumbrance period should be greater than liquidity horizon and maturity should be less than liquidity horizon. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, are predefined as part of this assumption. This assumption applies an 80% rollover, that is, 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover, that is, 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | |
| 64 | HKMA- Non Lien marked Ins TDs from Sov and others | This assumption applies a 20 percent run-off rate for non-lien marked fully insured TDs. | This set of assumption treats accounts that are non- lien marked and fully insured term deposits. A 20% run-off rate is applied for the unencumbered portion and 0% run-off rate is applied for the encumbered portion. |
Part 7 Division 5, 41 (2) Completion Instruction- B.6 |
| 65 | HKMA- Lien marked Ins TDs from Sov and others | This assumption applies a 20 percent runoff rate for lien marked fully insured TDs. | This set of assumptions treat accounts that are lien marked and fully insured term deposits 20% Run-off rate is applied for the unencumbered portion and 0% is applied for the encumbered portion. |
Part 7 Division 5, 41 (2) Completion Instruction- B.6 |
| 66 | HKMA- Unenc part of Lien marked Ins TDs from Sov and others | This assumption applies a 20 percent runoff rate for Unencumbered part of lien marked fully insured TDs. | ||
| 67 | HKMA- Enc portion of Lien marked Ins TDs from Sov and others | This assumption applies 0 percent runoff rate for encumbered part of lien marked fully insured TDs. | ||
| 68 | HKMA-Other Legal Entity Unsecured Wholesale Funding Run-off | Run-off on unsecured wholesale funding, from wholesale customers other than SMEs, Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, provided for non-operational purposes. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from wholesale counterparties other than SMEs, Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, are predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% Run-off on cash flows from non-operational funding accounts. |
109 Completion Instruction- B.6 |
| 69 | HKMA-UWF Run-off on Non-operational Balance of Other Ent | Run-off on the non-operational portion of unsecured wholesale funding (UWF) provided by customers other than non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs that are classified as an operational deposit. | The run-off rates on the non-operational portion of operational deposits from SME's treated as wholesale customers for the purposes of LCR, and other parties such as sovereigns, central banks, and so on are predefined as part of this assumption. This assumption applies a 20% Run-off on the non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance. |
109 Completion Instruction- B.6 |
| 70 | HKMA-Issued Debt Security Outflow | Outflows on debt securities issued by the bank itself. | The run-off rates on the debt securities issued by the bank itself are predefined as part of this assumption. This assumption applies a 90% rollover, that is, 10% Run-off on issued securities that are sold exclusively in the retail market and held in retail accounts, and 0% rollover, that is, 100% Run-off on all other issued securities. |
110 Completion Instruction- B.7 |
| 71 | HKMA-Insured Operational Balance Run-off | Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities that is fully covered by deposit insurance. | The run-off rates on the insured portion of the balance held in operational accounts to fulfill operational requirements are predefined as part of this assumption. This assumption applies a 3% Run-off on insured operational balances that meet the additional criteria for deposit insurance schemes and a 5% Run-off on those that do not meet the additional criteria. |
93 to 104 Completion Instruction- B.5 |
| 72 | HKMA-Uninsured Operational Balance Run-off | Run-off on the portion of the operational balance, from deposits generated by clearing, custody, and cash management activities that is not covered by deposit insurance. | The run-off rates on the uninsured portion of the balance held in operational accounts to fulfill operational requirements are predefined as part of this assumption. This assumption applies a 25% Run-off on operational balances that are not covered by deposit insurance. | |
| 73 | HKMA-Secured Funding Run-Off | Run-off on secured funding, excluding Collateral Swaps, received from Sovereigns, Central Banks, and Multilateral Development Banks. | The run-off rates on the secured funding, excluding collateral swaps, received from Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, are predefined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of Rollover Rates, that is, 1 – Run-off Rates. |
112 to 115 Completion Instruction- B.8 and B.9 |
| 74 | HKMA-Run-off on Secured Funding From PSEs | Run-off on secured funding, excluding collateral swaps, received from PSEs. | The run-off rates on the secured funding, excluding collateral swaps, received from PSEs, are predefined as part of this assumption. This assumption applies the regulatory run-offs applicable to PSEs in the form of rollover rates, that is, 1 – run-off rates. | |
| 75 | HKMA-Secured Funding Run-Off for other counterparties | Run-off on secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks, and PSEs. | The run-off rates on the secured funding, excluding collateral swaps, received from counterparties other than sovereigns, Central Banks, Multilateral Development Banks, and PSEs, where the transaction is backed by level 2B non-RMBS or other assets, are predefined as part of this assumption. This assumption applies the regulatory run-offs applicable to other counterparties, based on the asset quality of the placed collateral, in the form of rollover rates, that is, 1 – Run-off rates. | |
| 76 | HKMA - Collateral Swap Run-off | Run-off on collateral swap transactions. | The run-off rates on collateral swaps are predefined as part of this assumption. This assumption applies the run-offs applicable to the market value of received collateral, when the collateral received under a swap transaction is of a higher quality than the collateral placed, as the difference between the liquidity haircuts applicable to the received and placed collateral. | |
| 77 | HKMA-Derivative cash outflows | Net cash outflows from derivative transactions. | The outflow rate on the 30-day cash outflows from derivative transactions is predefined as part of this assumption. This assumption applies a 100% outflow on derivatives cash outflows, on a net basis in case of derivatives, which are part of a netting agreement, and on a non-net basis for other derivatives. |
116 to 117 Completion Instruction- B.10 |
| 78 | HKMA-Derivatives Gross Cash Outflows | Gross cash outflows from derivative transactions net of collateral | Gross cash outflows from derivatives net of collateral is represented in the table 5 of the reporting template. However, no outflow factor is applied to it. The outflow is applied to the net derivatives. |
116 to 117 Completion Instruction- B.10 |
| 79 | HKMA-Derivatives Gross Cash Inflows | Gross cash inflows from derivative transactions net of collateral. | Gross cash inflows from derivatives net of collateral is represented in table 5 of the Reporting Template, no outflow factor is applied to it. Inflow is applied to the net derivatives |
116 to 117 Completion Instruction- B.10 |
| 80 | HKMA-Additional Coll Required Due to Ratings Downgrade | Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch rating downgrade. | The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch rating downgrade, is predefined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch rating downgrade. |
118 Completion Instruction- B.11 |
| 81 | HKMA-Loss of Re-hypothecation Right Due to Ratings Downgrade | Increased liquidity needs arising from a loss of re-hypothecation rights on assets received as collateral due to a 3-notch rating downgrade. | The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers that result in a loss of re-hypothecation rights due to a 3-notch rating downgrade is predefined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade. | |
| 82 | HKMA-Increased Liquidity Needs Due to Change in Coll Value | Increased liquidity needs arising from the potential change in the value of posted collateral. | The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 assets posted as collateral is predefined as part of this assumption. This assumption applies a 100% outflow on the value of non-level 1 posted collateral computed after netting the non-level 1 collateral received under re-hypothecation rights on the same transaction. |
119 Completion Instruction- B.12 |
| 83 | HKMA-Increased Liq Needs Due to Change in Placed Collateral | Increased liquidity needs arising from the potential change in the value of placed collateral alone. | The assumption does not get any outflow factor but is represented as a requirement in table 6 of the Reporting Template |
119 Completion Instruction- B.12 |
| 84 | HKMA-Increased Liq Needs Due to Change in Received Coll | Change in liquidity needs arising from the potential change in the value of received collateral alone. | The assumption does not get any outflow factor but is represented as a requirement in table 6 of the Reporting Template |
119 Completion Instruction- B.12 |
| 85 | HKMA-Increased Liquidity Needs Due To Excess Collateral | Increased liquidity needs arising from excess non-segregated collateral received that can be recalled by the counterparty. | The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral. |
120 Completion Instruction- B.13 |
| 86 | HKMA-Increased Liquidity Needs from Contractually Due Coll | Increased liquidity needs arising from the collateral that is contractually required to be posted to the counterparty but has not yet been posted. | The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is predefined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral. |
121 Completion Instruction- B.15 |
| 87 | HKMA - Increased Liquidity Needs Due to Substitutable Coll | Increased liquidity needs arising from contracts that allow a counterparty to substitute lower quality collateral for the current higher quality collateral. | The outflow rate on the collateral that the counterparty can contractually substitute with lower quality collateral is predefined as part of this assumption. This assumption applies an outflow rate equal to the difference between the liquidity haircuts of collateral that can be potentially substituted by the counterparty and the collateral that substitutes it. |
122 Completion Instruction- B.14 |
| 88 | HKMA - Increased Liquidity Needs Due to Market Val Changes | Increased liquidity needs arising from market valuation changes on derivatives and other transactions. | The outflow rate on the collateral outflows occurring due to market valuation changes on derivatives and other transactions is predefined as part of this assumption. This assumption applies a 100% outflow rate on the largest absolute net 30-day collateral flow occurring during the preceding 24 months under the historical look-back approach. |
123 Completion Instruction- B.16 |
| 89 | HKMA - Loss of Funding on Structured Financing Instruments | Loss of funding on asset-backed securities, covered bonds, and other structured financing instruments. | The run-off rate on the maturing asset-backed securities, covered bonds, and other structured financing instruments is predefined as part of this assumption. This assumption applies a 100% run-off on structured financing instruments that mature within the LCR horizon. |
124 Completion Instruction- B.17 |
| 90 | HKMA - Loss of Funding from Financing Facility-Maturing Debt | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt. | The run-off rate on the maturing amounts of asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities is predefined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon. |
125 Completion Instruction- B.18 |
| 91 | HKMA - Loss of Funding from Financing Facility-Ret of Assets | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to potential return of assets. | The run-off rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities is predefined as part of this assumption. This assumption applies a 100% run-off on the value of the assets that are returnable within the LCR horizon. | |
| 92 | HKMA - Loss of Funding from Financing Facility - Liq Draws | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities due to drawdown of liquidity facilities provided by the bank. | The outflow rate on the undrawn amount available to be drawn down on the liquidity facility extended to the structured financing facility is predefined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate on the liquidity facilities extended as support for structured financing purposes. | |
| 93 | HKMA-Drawdowns on Committed Credit and Liquidity Facilities | Drawdowns on committed facilities received by the bank. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to retail customers, SMEs, corporates, sovereigns, central banks, MDBs, and PSEs is predefined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties. |
126 to 131 Completion Instruction- B.19 |
| 94 | HKMA-Draws on Committed Facilities Extended to Banks | Drawdowns on committed credit and liquidity facilities extended to entities other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs, and banks. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers is predefined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, for banks, including those subject to prudential regulation. | |
| 95 | HKMA-Draws on Committed Facilities Extended to Other Entity | Drawdowns on committed credit and liquidity facilities to other legal entities. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers other than retail customers, SMEs, corporates, sovereigns, central banks, MDBs, PSEs, and banks is predefined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate to all counterparties excluding the aforementioned counterparties. | |
| 96 | HKMA-Other Contractual Obligations to Financial Institutions | Outflows related to other contractual obligations to extend funds within 30 days to financial institutions. | The outflow rate on other contractual obligations to extend funds to financial institutions, not covered in the previous assumptions, is predefined as part of this business assumption. This assumption applies a 100% outflow rate on such contractual obligations. |
132 Completion Instruction- B.19 |
| 97 | HKMA-Other Contractual Obligations to Non-Financial Cust | Outflows related to other contractual obligations to extend funds within 30 days to retail and non-financial wholesale counterparties. | The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, in excess of 50% of contractual inflows from such customers within the LCR horizon, is predefined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount. |
133 Completion Instruction- B.20 |
| 98 | HKMA-Other Contractual Obligations to Financial Customers | Outflows related to other contractual obligations to extend funds within 30 days financial customer | This assumption applies a 100% outflow on the excess contractual obligation amount. |
133 Completion Instruction- B.20 |
| 99 | HKMA-Other Contractual Obligations to Retail | Outflows related to other contractual obligations to extend the funds within 30 days to retail counterparties. | This assumption applies a 100% outflow on the excess contractual obligation amount. |
133 Completion Instruction- B.20 |
| 100 | HKMA-Other Contractual Obligations to SME | Outflows related to other contractual obligations to extend the funds within 30 days to SME counterparties. | This assumption applies a 100% outflow on the excess contractual obligation amount. |
133 Completion Instruction- B.20 |
| 101 | HKMA-Other Contractual Obligations to Other nonfinancial and non retail customer | Outflows related to other contractual obligations to extend funds within 30 days to other non-financial and non-retail counterparties. | This assumption applies a 100% outflow on the excess contractual obligation amount. |
133 Completion Instruction- B.20 |
| 102 | HKMA-Other Contingent Funding Obligation Outflows | Outflows related to trade finance related instruments. | This assumption applies a 5% factor on Trade finance related instruments. |
134 to 140 Completion Instruction- B.21 |
| 103 | HKMA other contingent funding debt buy back | Outflows related to buyback of debt irrespective of maturity date | Non-contractual contingent funding obligation to repurchase (or early redeem) debt securities or structured financial instruments, irrespective of whether the maturity date of which is beyond the LCR period is defined in this template. |
134 to 140 Completion Instruction- B.21. Table 10 |
| 104 | HKMA-Uncommitted Facility Outflows | Drawdowns on uncommitted credit and liquidity facilities extended to customers. | The outflow rate on the undrawn amount available to be drawn down on the uncommitted credit and liquidity facilities extended to customers is predefined as part of this assumption. This assumption applies a 0% drawdown on the uncommitted facilities. The drawdown rates are allowed to be updated to reflect the rates specified by national regulators. |
134 to 140 Completion Instruction- B.21 |
| 105 | HKMA-Outflows Related to Short Positions | Outflows related to customer and bank short positions. | The outflow rate on the customer and firm short positions is predefined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions. |
147 Completion Instruction- B.21 |
| 106 | HKMA-Non-contractual Obligation Outflows | Outflows from non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations. | The outflow rate on the non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds, and any other similar obligations is predefined as part of this assumption. This assumption applies a 0% outflow rate on non-contractual obligations. The outflow rate is allowed to be updated to reflect the rates specified by national regulators. |
134 to 140 Completion Instruction- B.21 |
| 107 | HKMA-Non-contractual funding obligation |
The outflow rate on the non-contractual obligations related to money market funds or other types of collective investment funds marketed by the reporting institution (or its associated entity), where there is a reasonable expectation that the obligations will be materialized within the LCR period.
|
The outflow run-off rate of 100% is applied on the non-contractual obligations related to money market funds or other types of collective investment funds marketed by the reporting institution (or its associated entity), where there is a reasonable expectation that the obligations will be materialized within the LCR period.
|
134 to 140 Completion Instruction- B.21 |
| 108 | HKMA-Contractual Dividend Payment Outflows | Outflows related to contractual payments of dividends. | The outflow rate on the dividends payable within the LCR horizon is predefined as part of this assumption. This assumption applies a 100% outflow on dividends payable. | |
| 109 | HKMA-NFC, Sov, CB, MDB, PSE UWF Runoff on Ins Non-op Bal | This assumption applies 20 percent runoff on Term deposits, which are part of SME, Corporates, MDB, PSE and are unsecured, operational and maturity should be less than liquidity horizon. | The run-off rates on the non-operational portion of operational deposits from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies a 20% Run-off on the non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% Run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance. |
96, 107 to 108 Completion Instruction- B.. |
| 110 | HKMA-NFC, Sov, CB, MDB, PSE Non-operational Run-off | Run-off on the unsecured wholesale funding (UWF), provided by non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB), and PSEs, that is not classified as an operational deposit. This is achieved by rolling over 60 percent run-off rate to beyond the LCR horizon of 30 days. | The run-off rates on the cash flows, from unsecured funding that is not classified as an operational deposit, received from non-financial corporates, sovereigns, central banks, multilateral development banks, and PSEs, are predefined as part of this assumption. This assumption applies an 80% rollover, that is, 20% Run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover, that is, 40% Run-off on those non-operational funding accounts that are not fully covered by deposit insurance. |
96, 107 to 108 Completion Instruction- B. |
| 111 |
HKMA-Unsecured Other Inflows from Retail Counterparties
|
Run off applied on unsecured part of inflows from retail counterparty |
The assumption applies 50% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is retail |
Completion Instruction- C4 |
| 112 | HKMA- UnsecuredOther Inflows-WSME, NFC, Sov, CB, MDB and PSE | Run off applied on unsecured part of inflows from WSME, NFC, Sov, CB, MDB and PSE |
The assumption applies 50% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is WSME, NFC,Sov,MDB and PSE and 100% to CB inflows |
Completion Instruction- C4 |
| 113 |
HKMA- Unsecured Other Inflows from FIs
|
Run off applied on unsecured part of inflows from Financial Institutions |
The assumption applies 100% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is Financial Institutions |
Completion Instruction- C4 |
| 114 |
HKMA-Unsecured Other Inflows -Other Wholesale Counterparties
|
Run off applied on unsecured part of inflows from Other Wholesale Counterparties
|
The assumption applies 50% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is other wholesale |
Completion Instruction- C4 |
| 115 |
Forward starting outflows with received collateral
|
Run-off applied on the forward starting deal with HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with HQLA collateral | Completion Instruction- Annex 2 |
| 116 |
Forward starting outflows with other collateral
|
Run-off applied on the forward starting deal with non-HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with non-HQLA collateral | Completion Instruction- Annex 2 |
| 117 |
Forward starting outflows without received collateral
|
Run-off applied on the forward starting deal without collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting without collateral | Completion Instruction- Annex 2 |
| 118 |
HKMA - Forward starting Inflows from CB without collateral
|
Run-off applied on inflows of the forward starting deal with central bank without collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting without collateral and where counterparty is central bank | Completion Instruction- Annex 2 |
| 119 |
HKMA - Forward starting Inflows from CB with HQLA collateral
|
Run-off applied on inflows of the forward starting deal with central bank where the deal is secured by HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with HQLA collateral and where counterparty is central bank | Completion Instruction- Annex 2 |
| 120 |
HKMA - Fwd starting Inflows from CB with other collateral
|
Run-off applied on inflows of the forward starting deal with central bank where the deal is secured by Non-HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with Non-HQLA collateral and where counterparty is central bank | Completion Instruction- Annex 2 |
| 121 |
HKMA - Fwd starting Inflows from Retail without collateral
|
Run-off applied on inflows of the forward starting deal with Retail customer | This assumption applies 100% run off rate on the balance of the deal classified as forward starting without collateral and where counterparty is Retail customer | Completion Instruction- Annex 2 |
| 122 |
HKMA-Fwd starting Inflows from Retail with HQLA collateral
|
Run-off applied on inflows of the forward starting deal with Retail customer where the deal is secured by HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with HQLA collateral and where counterparty is Retail customer | Completion Instruction- Annex 2 |
| 123 |
HKMA-Fwd starting Inflows from Retail with other collateral
|
Run-off applied on inflows of the forward starting deal with Retail customer where the deal is secured by Non-HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with Non-HQLA collateral and where counterparty is Retail customer | Completion Instruction- Annex 2 |
| 124 |
HKMA - Forward starting Inflows from FI without collateral
|
Run-off applied on inflows of the forward starting deal with FI | This assumption applies 100% run off rate on the balance of the deal classified as forward starting without collateral and where counterparty is FI | Completion Instruction- Annex 2 |
| 125 |
HKMA - Forward starting Inflows from FI with HQLA collateral
|
Run-off applied on inflows of the forward starting deal with FI where the deal is secured by HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with HQLA collateral and where counterparty is FI | Completion Instruction- Annex 2 |
| 126 |
HKMA - Fwd starting Inflows from FI with other collateral
|
Run-off applied on inflows of the forward starting deal with FI where the deal is secured by Non-HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with Non-HQLA collateral and where counterparty is FI | Completion Instruction- Annex 2 |
| 127 |
HKMA - Forward starting Inflows from SME without collateral
|
Run-off applied on inflows of the forward starting deal with SME | This assumption applies 100% run off rate on the balance of the deal classified as forward starting without collateral and where counterparty is SME | Completion Instruction- Annex 2 |
| 128 |
HKMA - Fwd starting Inflows from SME with HQLA collateral
|
Run-off applied on inflows of the forward starting deal with SME where the deal is secured by HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with HQLA collateral and where counterparty is SME | Completion Instruction- Annex 2 |
| 129 |
HKMA - Fwd starting Inflows from SME with other collateral
|
Run-off applied on inflows of the forward starting deal with SME where the deal is secured by Non-HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with Non-HQLA collateral and where counterparty is SME | Completion Instruction- Annex 2 |
| 130 |
HKMA - Fwd starting Inflows from others with HQLA collateral
|
Run-off applied on inflows of the forward starting deal with OTHER COUNTERPARTIES | This assumption applies 100% run off rate on the balance of the deal classified as forward starting without collateral and where counterparty is OTHER COUNTERPARTIES | Completion Instruction- Annex 2 |
| 131 |
HKMA - Fwd starting Inflows from others without collateral
|
Run-off applied on inflows of the forward starting deal with OTHER COUNTERPARTIES where the deal is secured by HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with HQLA collateral and where counterparty is OTHER COUNTERPARTIES | Completion Instruction- Annex 2 |
| 132 |
HKMA-Fwd starting Inflows from others with other collateral
|
Run-off applied on inflows of the forward starting deal with OTHER COUNTERPARTIES where the deal is secured by Non-HQLA collateral | This assumption applies 100% run off rate on the balance of the deal classified as forward starting with Non-HQLA collateral and where counterparty is OTHER COUNTERPARTIES | Completion Instruction- Annex 2 |
| 133 |
HKMA-Unsecured Other Inflows from Retail Counterparties
|
Run off applied on unsecured part of inflows from retail counterparty |
The assumption applies 50% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is retail |
Completion Instruction- C4 |
| 134 | HKMA- UnsecuredOther Inflows-WSME, NFC, Sov, CB, MDB and PSE | Run off applied on unsecured part of inflows from WSME, NFC, Sov, CB, MDB and PSE |
The assumption applies 50% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is WSME, NFC, Sov, MDB and PSE and 100% to CB inflows |
Completion Instruction- C4 |
| 135 |
HKMA- Unsecured Other Inflows from FIs
|
Run off applied on unsecured part of inflows from Financial Institutions |
The assumption applies 100% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is Financial Institutions |
Completion Instruction- C4 |
| 136 |
HKMA-Unsecured Other Inflows -Other Wholesale Counterparties
|
Run off applied on unsecured part of inflows from Other Wholesale Counterparties
|
The assumption applies 50% run off factor to inflows generated by Reverse Repo Securities Borrowing Transaction Margin Loan where the counterparty is other wholesale |
Completion Instruction- C4 |
| 137 | HKMA-domestic penalty Free less Stable Retail interest | Run-offs on the interest portion of less stable term deposits, from retail customers, that is treated as demand deposits. | The run-off rates on the interest portion of less stable term deposits, that are treated as demand deposits, from retail customers are predefined as part of this assumption. This assumption applies a 10% Run-off on the interest portion of retail deposits maturing within the LCR horizon |
BCBS 238 Para 82-84 Completion Instruction- B.1 |
| 138 | HKMA-overseas penalty Free less Stable Retail interest | Run-offs on the interest portion of less stable term deposits, from retail customers, that is treated as demand deposits. | The run-off rates on the interest portion of less stable term deposits, that are treated as demand deposits, from retail customers are predefined as part of this assumption. This assumption applies a 10% Run-off on the interest portion of retail deposits maturing within the LCR horizon |
BCBS 238 Para 82-84 Completion Instruction- B.2 |
| 139 | HKMA-domestic Penalty Free less Stable SME Runoff interest | Run-offs on the interest portion of less stable term deposits, from retail customers, that treated as demand deposits. | The run-off rates on the interest portion of less stable term deposits, that are treated as demand deposits, from SMEs treated as retail customers for the purpose of LCR, are predefined as part of this assumption. This assumption applies a 10% run-off on the interest portion of retail deposits maturing within the LCR horizon |
BCBS 238 Para 82-84 Completion Instruction- B.3 |
| 140 | HKMA-overseas Penalty Free less Stable SME and SME Runoff | Run-offs on the portion of less stable term deposits, from retail customers, that is treated as demand deposits.. | The run-off rates on the portion of less stable term deposits, treated as demand deposits, from SMEs treated as retail customers for the purpose of LCR, are predefined as part of this assumption. This assumption applies a 10% run-off on the portion of retail deposits maturing beyond the LCR horizon that do not meet the deposit stability criteria and can either be withdrawn without incurring a penalty or are allowed to be withdrawn despite a clause that says the depositor has no legal right to withdraw |
BCBS 238 Para 82-84 Completion Instruction- B.4 |
| 140 | HKMA-Run-off on Unsecured Non-Oper Funding interest cashflow |
This assumption Rollovers 60 percent of the interest cash flows for deposit accounts which are part of SME.
|
This assumption Rollovers 60 percent of interest cash flows for deposit accounts from Small and medium enterprises. |
107 Completion Instruction- B.6 |
| 141 | HKMA-UnInsured Operational Balance Run-off interest cashflow | Run-off on the interest portion of the operational balance, from deposits generated by clearing, custody, and cash management activities that is not covered by deposit insurance. | The run-off rates on the uninsured interest portion of the balance held in operational accounts to fulfill operational requirements are predefined as part of this assumption. This assumption applies a 75% rollover on interest portion operational balances that are not covered by deposit insurance. |
93 to 104 Completion Instruction- B.5 |
| 142 | HKMA- Loss of Funding from Financing Facility interest cash | Loss of funding on interest on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt. | The run-off rate on the interest amounts of asset-backed commercial paper, conduits, securities investment vehicles, and other such financing facilities is predefined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon. |
125 Completion Instruction- B.18 |
| 143 | HKMA-Operational Deposit Inflows interest | This assumption rollovers 100 percent interest cash flows for Operational balance with banks related accounts. | The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are predefined as part of this assumption. This assumption applies a 0% inflow on the interest of such operational deposits. |
BCBS 238 Para 156 Completion Instruction- C.8 |
| 144 | HKMA-Other Legal Entity Unsecured Wholesale Funding Run-off interest | Run-off on intrest cashflows of unsecured wholesale funding, from wholesale customers other than SMEs, Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, provided for non-operational purposes. | The run-off rates on the interest cash flows, from unsecured funding that is not classified as an operational deposit, received from wholesale counterparties other than SMEs, Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, are predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% Run-off on interest cash flows from non-operational funding accounts. |
109 Completion Instruction- B.6 |
| 145 | HKMA-non- Operational Balance Run-off | Non-operational balance of unsecured operational deposits is covered under this item | Under this memorandum item Non-operational balance of unsecured operational deposits is covered |
93 to 104 Completion Instruction- B.5 |
| 146 | HKMA-Open Mat Loan Min Payment Inflow for oth counterparties | Inflows due to minimum payments received within the LCR horizon on Open Maturity Loans from other counterparties | The inflow rate on the minimum payments of principal, interest, and fee, that are contractually due within the LCR horizon, on an Open Maturity Loan, is predefined as part of this assumption. This assumption applies a 50% inflow on such minimum payments with other counterparties |
BCBS 238 Para 152 Completion Instruction- C 4 |
| 147 | HKMA-Other Contractual Inflows from CB FIs Retail SME | It coveres the inflows from central bank financial institution and retail SME which are not covered in other reporing lines | It coveres those records from central banks, financial instituions and retail SME which are not captured by other reporing lines and assign appropriat inflow Factors | C 10.a.b.c.d |
| 148 | HKMA-Other Contractual Interest Inflows from other wholesale | It coveres the inflows from other which are not covered in other reporing lines | It coveres those records from other wholesale counterparties are not captured by other reporing lines and assign appropriat inflow Factors | C 10.e |
| 149 | HKMA- domestic Lien marked stable SME deposits | Run-offs on the stable portion of lien marked deposits from customers treated as SME retail. | The run-off rates on the stable portion of lien marked deposits from all customers treated as SME retail, wherein the deposit maturity and the encumbrance period is within the LCR horizon, are predefined as part of this assumption. Since such deposits can be withdrawn within the horizon, these are treated as non-lien marked stable deposits. This assumption applies a 5% run-off rate on the stable portion of such deposits. | Part 7 Division 5, 41 (2) |
| 150 | HKMA-OthLegalEntity Unsec Wholesale Funding Run-off interest | Run-off on interest portion of unsecured wholesale funding, from wholesale customers other than SMEs, Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, provided for non-operational purposes. | The run-off rates on the interest cashflows cash flows, from unsecured funding that is not classified as an operational deposit, received from wholesale counterparties other than SMEs, Non-Financial Corporates, Sovereigns, Central Banks, Multilateral Development Banks, and PSEs, are predefined as part of this assumption. This assumption applies a 0% rollover, that is, 100% Run-off on cash flows from non-operational funding accounts. |
109 Completion Instruction- B.6 |
| 151 | HKMA-Run-off on Unsecured Non-Operational Funding from SMEs | This assumption Rollovers 60 percent cash flows for deposit accounts which are part of SME. | This assumption Rollovers 60 percent of cash flows for deposit accounts from Small and medium enterprises. |
107 Completion Instruction- B.6 |