7.3.1.2 Required Core Funding
This section enlists all the preseeded assumptions acting on liabilities and capital items, which receive an RCF factor.
Table 6-5 Preconfigured RCF Assumptions HKMA CFR
| Sl. No. | Business Assumption Name | Business Assumption Description | Regulatory Requirement Addressed | Regulatory Reference |
|---|---|---|---|---|
| 1 | HKMA RCF- Coins and Banknotes | HKMA RCF - Coins, banknotes, cash, and restricted cash held by the bank. | The RCF Factor applicable to coins, banknotes, and cash held by the bank, is predefined as a part of this assumption. This assumption applies a 0% RCF factor on the coins, banknotes, and cash held by the bank. | Paragraph 84 |
| 2 | HKMA RCF- Central Bank Reserves | HKMA RCF - All central bank reserves, including, required reserves and excess reserves. | The RCF Factors applicable to required and excess central bank reserves are predefined as a part of this assumption. This assumption applies a 0% RCF factor to all central bank reserves. | Paragraph 45 |
| 3 | HKMA RCF- Unencumbered Claims on Central Banks | HKMA RCF - Unencumbered loans and other claims on central banks | The RCF Factors applicable to fully performing unencumbered loans and claims on central banks, with a remaining maturity of less than 1 year, are predefined as part of this assumption. This assumption applies 0%, 50%, and 100% RCF factors to the loans and claims on central banks with a remaining maturity of less than 6 months, between 6 months and 1 year, and 1 year or more respectively. It also applies a 100% RCF factor to the loans and claims on central banks with open maturity. | Paragraphs 91 , 92 |
| 4 | HKMA RCF- Unencumbered Loans to Banks Secured by L1 Asset | HKMA RCF - Unencumbered loans to banks where the loan is secured against Level 1 assets as defined in the LCR. | The RCF Factors applicable to the unencumbered loans given to banks, regional development banks (RDB), National Development banks (NDB), multilateral development banks (MDB) secured by a level 1 asset are predefined as a part of this assumption. The assumption applies RCF factor of 0%,50%,100% on the unencumbered secured loans given to banks, regional development banks (RDB), National Development banks(NDB), multilateral development banks (MDB) by level 1 asset with a remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more, respectively. It also applies a 100% RCF factor on the loans with open maturity. | Paragraphs 91 , 92 |
| 5 | HKMA RCF- Unencumbered Loans to FIs Secured by L1 Asset | HKMA RCF - Unencumbered loans to other parties excluding banks, central banks, regional development banks, MDBs, NDBs where the loan is secured against Level 1 assets as defined in the LCR. | The RCF factors applicable on the unencumbered loans given to all other parties excluding banks, central banks, regional development banks, MDBs, NDBs secured by a level 1 asset are predefined as a part of this assumption. The assumption applies RCF factor of 0%,50%,100% on the unencumbered secured loans given to all other parties excluding banks, Central Banks, Regional Development Banks, MDBs, NDBs by level 1 asset with a remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more, respectively. It also applies a 100% RCF factor on the loans with open maturity. | Paragraphs 93 , 94 |
| 6 | HKMA RCF - Unencumbered Non HQLA Securities-Maturity over 1yr | HKMA RCF - Unencumbered securities, with a maturity greater than 1 year which do not qualify as HQLA under the LCR Rule | The RCF Factors applicable to unencumbered securities, with a remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule, are predefined as part of this assumption. The assumption applies an 85% RCF factor on unencumbered securities, with a remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. | Paragraphs 89, 90 |
| 7 | HKMA RCF- Trade Date Receivables | HKMA RCF - Trade date receivables 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 RCF Factor applicable to trade date receivables 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, are predefined as part of this assumption. The assumption applies a 0% RCF factor to the trade receivables, which expected to settle within the settlement cycle. | Paragraph 96 |
| 8 | HKMA RCF- Unencumbered Commodities | HKMA RCF - Unencumbered physically traded commodities, including gold. | The RCF Factor applicable to unencumbered physically traded commodities is defined as a part of this assumption. The assumption applies an 85% factor. | Paragraph 85 |
| 9 | HKMA RCF- Unencumbered Export Bills | HKMA RCF - Unencumbered export bills. | The RCF Factor applicable to export bills is 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 |
| 10 | HKMA RCF- Unencumbered Loan to Banks with L1 Asset-cashflows | HKMA - RCF - : Unencumbered loans to banks with residual maturity of more than 1 year and cashflows occuring in less than 1 year, where the loan is secured against Level 1 assets as defined in the LCR. | The RCF Factors applicable on the unencumbered loans given to banks, regional development banks(RDB), National Development banks(NDB), multi-lateral development banks(MDB) secured by a level 1 asset, with residual maturity of 1 year or more, are predefined as a part of this assumption. The assumption applies RCF factor of 0%,50%,100% on the unencumbered secured loans given to banks, regional development banks(RDB), National Development banks(NDB), multi-lateral development banks(MDB) by level 1 asset with cashflow maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively. It also applies a 100% RCF factor on the loans with open maturity. | Paragraphs 91 , 92 |
| 11 | HKMA RCF- Unencumbered Loans to FIs with L1 Asset -cashflows | HKMA - RCF - : Unencumbered loans to other parties excluding banks, central banks, regional development banks, MDBs, NDBs with residual maturity of more than 1 year and cashflows occuring in less than 1 year, the loan is secured against Level 1 assets as defined in the LCR. | The RCF Factors applicable on the unencumbered loans given to all other parties excluding banks, central banks, regional development banks, MDBs, NDBs secured by a level 1 asset, with residual maturity of 1 year or more, are predefined as a part of this assumption. The assumption applies RCF factor of 0%,50%,100% on the unencumbered secured loans given to all other parties excluding banks, central banks, regional development banks, MDBs, NDBs by level 1 asset with cashflow maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively. It also applies a 100% RCF factor on the loans with open maturity. | Paragraphs 93 , 94 |
| 12 | HKMA RCF- Unencumbered Claims on Banks - Cashflows | HKMA - RCF - : Unencumbered loans and other claims on banks with cashflow maturity across all the time buckets | This assumption captures unencumbered loans and other claims on couterparty other then central banks. It applies RCF facor of 100% for Open Maturity ,0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 91-92 |
| 13 | HKMA RCF- Unencumbered overdraft Loan to Banks -cashflows | [HKMA]: RCF- Unencumbered cashflow amount of products OD for the counterparties Banks, Regional development banks, NDB, MDB are covered and respective RCF factor is applied as per maturity bucket | [HKMA]: RCF- Unencumbered cashflow amount of products OD for the counterparties Banks, Regional development banks, NDB, MDB are captured and reported to open maturity bucket and applied 100% RCF factor | Paragraphs 91-92 |
| 14 | HKMA RCF- Unencumbered Loan to Banks except OD -cashflows | [HKMA]: RCF- Unencumbered cashflow amount of products Balance, Loans , Leases for the counterparties Banks, Regional development banks, NDB, MDB are covered and respective RCF factor is applied as per maturity bucket | [HKMA]: RCF- Unencumbered cashflow amount of products Balance, Loans , Leases for the counterparties Banks, Regional development banks, NDB, MDB are covered and RCF factor is applied - 0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 91-92 |
| 15 | HKMA RCF- Unsecured credit card Loans - cashflow | [HKMA]: RCF- Cashflow net of minimum amount due of product credit card for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered and RCF factor of 100% is applied | [HKMA]: RCF- Cashflow net of minimum amount due of product credit card for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered under open maturity and RCF factor of 100% is applied | Paragraphs 93-94 |
| 16 | HKMA RCF- Unencumbered Unsecured OD - cashflow | [HKMA]: RCF- Unencumbered cashflow amount of products OD for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered and respective RCF factor is applied as per maturity bucket | [HKMA]: RCF- Unencumbered cashflow amount of products OD for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered under open maturity bucket and RCF factor of 100% | Paragraphs 93-94 |
| 17 | HKMA RCF- Unencumbered Unsecured Loans except OD - cashflow | [HKMA]: RCF- Unencumbered cashflow amount of products loan and leases for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered and respective RCF factor is applied as per maturity bucket | [HKMA]: RCF- Unencumbered cashflow amount of products loan and leases for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered and RCF factor is applied - 0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 93-94 |
| 18 | HKMA RCF- Unsecured Loans Min amount | [HKMA]: RCF- minimum amount due of product credit card for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered and RCF factor of 0% is applied | [HKMA]: RCF- minimum amount due of product credit card for the counterparties except Banks, Central Banks, Regional development banks, NDB, MDB are covered under <6 months bucket and RCF factor of 0% is applied | Paragraphs 93-94 |
| 19 | HKMA- RCF- Unencumbered Residential Mortgage Loans - cashflows | HKMA - RCF - : Unencumbered residential mortgage loans guaranteed by HKMC and covered by forward facility commitment | HKMA - RCF - : Unencumbered residential mortgage loans guaranteed by HKMC and covered by forward facility commitment are covered and an RCF factor of 0% is applied | Paragraphs 93-94 |
| 20 | HKMA RCF- Unencumbered Other Assets | HKMA - RCF - : Cashflows excluding principla cashflows for all other assets not covered elsewhere across time bands | HKMA - RCF - : Cashflows excluding principla cashflows for all other assets not covered elsewhere are covered and RCF factor is applied - 0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 97-98 |
| 21 | HKMA RCF- Unen DS issued by sov, CB, PSE and other banks | HKMA - RCF - Unencumbered securitites which qualify for inclusion in CFR as per BLR and issued by Sovereign, central banks, PSE and other banks | HKMA - RCF - Unencumbered securitites which qualify for inclusion in CFR as per BLR and issued by Sovereign, central banks, PSE and other banks are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 22 | HKMA RCF- Unen DS guaranteed by sov, CB, PSE and other banks | HKMA - RCF - Unencumbered securitites which qualify for inclusion in CFR as per BLR and guaranteed by Sovereign, central banks, PSE and other banks | HKMA - RCF - Unencumbered securitites which qualify for inclusion in CFR as per BLR and guaranteed by Sovereign, central banks, PSE and other banks are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 23 | HKMA RCF- Unen Debt securities with issuers other than HK | HKMA - RCF - Unencumbered securitites with issuer/gurantor domicile other then HK and RCF factor of 0% | HKMA - RCF - Unencumbered securitites with issuer/gurantor domicile other then HK are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 24 | HKMA RCF- Unen DS issued by MDB and Int Org | HKMA - RCF - Unencumbered securitites issued by MDB or other international organisations with qulifying issue rating | HKMA - RCF - Unencumbered securitites issued by MDB or other international organisations with qulifying issue rating are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 25 | HKMA RCF- Unen Debt sec with guarantors other than HK | HKMA - RCF - Unencumbered securitites with issuer/gurantor domicile other then HK and RCF factor of 0% | HKMA - RCF - Unencumbered securitites with issuer/gurantor domicile other then HK are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 26 | HKMA RCF- Unen DS guaranteed by MDB and Int Org | HKMA - RCF - Unencumbered securitites guaranteed by MDB or other international organisations with qulifying issue rating | HKMA - RCF - Unencumbered securitites guaranteed by MDB or other international organisations with qulifying issue rating are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 27 | HKMA RCF- Unencumbered Debt securities | HKMA - RCF - Unencumbered securitites which qualify for inclusion in CFR as per BLR | HKMA - RCF - Unencumbered securitites which qualify for inclusion in CFR as per BLR are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 28 | HKMA RCF- Listed Ordinary Shares | HKMA - RCF - : Common equities that are listed on recognised stock exchange. | HKMA - RCF - : Common equities that are listed on recognised stock exchange are covered and applied 0% RCF Factor | Paragraphs 89-90 |
| 29 | HKMA RCF- Remaining Unencumbered Debt securities | HKMA - RCF - Remaining Unencumbered securitites which qualify for inclusion in CFR | HKMA - RCF - Remaining Unencumbered securitites which qualify for inclusion in CFR .It applies RCF facor of 100% for Open Maturity ,0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 89-90 |
| 30 | HKMA RCF- Remaining Unencum debt securities issued by non HK PSE | HKMA - RCF - Remaining Unencumbered securitites issued by non HK PSE which qualify for inclusion in CFR | HKMA - RCF - Remaining Unencumbered securitites issued by non HK PSE which qualify for inclusion in CFR .It applies RCF facor of 100% for Open Maturity ,0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 89-90 |
| 31 | HKMA RCF- Remaining Unen DS guaranteed by non HK PSE | HKMA - RCF - Remaining Unencumbered securitites guaranteed by non HK PSE which qualify for inclusion in CFR | HKMA - RCF - Remaining Unencumbered securitites guaranteed by non HK PSE which qualify for inclusion in CFR .It applies RCF facor of 100% for Open Maturity ,0% for 0- 6 months maturity , 50% for 6 months to 1 year maturity and 100% for =>1 year maturity | Paragraphs 89-90 |