1. Liquidity Risk Regulatory Calculations for Hong Kong Monetary Authority User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Ratio Constituents
  4. Secured Funding

4.3.8 Secured Funding

For Secured Accounts involving collateral placed or collateral received, there is an option to compute balances and cash flows in two granularities:

  • Account-Level
  • Account-Collateral Level

This option enables the treatment of partially secured accounts and granular processing of an account with multiple collaterals. By default, secured funding computations happen at the account level for partially secured accounts. This can be changed to the Account-collateral level by updating the value of the SETUP_MASTER table entry for SEC_TRANS_TREATMENT_PURPOSE_VAL to YES.

Account-Level

By default, all computations are done at the account level. This means that if multiple collaterals are securing an account, the collateral level information will be aggregated and processed at an account level.

Account-Collateral Level

Collateral level measures, such as the ones at the HQLA Asset level, encumbrance period, and so on, are computed at the account-collateral level. This means that if multiple collaterals are securing an account, the collateral level information is processed at the same account-collateral level without aggregating any data.