Page 31 - CCFA Journal - 8th Issue

加中金融 风险控制 Risk Management

1.2 Total Net Cash Outflows 总净现金流出
Total net cash outflows are equal to the expected cash outflows minus expected cash inflows within 30 calendar day period, but
cash inflow is cap at 75% of the cash outflows, as shown below.

ℎ

= ℎ − ( ℎ , 75% ∗ ℎ )
30 天内总净现金流出等于预期现金流出减去预期现金流入，但现金流入上限为现金流出的 75%，如下所示

总净现金流出 = 预期总现金流出 − Min（预期总现金流入， 75% ∗ 总现金流出）

Based on OSFI guidelines, like the haircut weight applied to HQLA assets, the expected cash outflows and inflows are subject to
certain run off rates to calculate LCR.

The cash flow run off rates will depend on the cash flow types and the characteristics, including the following factors:

 For cash outflows driven by deposits, factor in stable or less-stable, insured, or uninsured. Less stable or uninsured
deposits will subject to higher run off rate.
 Transaction counterparties: higher run-off rate will apply to cash flows with financial vs non-financial counterparties.
 For secured funding/lending, the worse the credit rating of underlying backed securities, the higher run off rate will apply.
Higher run-off rate will apply to cash flows backed by non-HQLA assets vs HQLA assets.
 Derivatives cash inflows and outflows are subject to 100% run-off rate.

根据 OSFI 指南，类似使用 HQLA 资产折减权重，预期现金流出和流入也须乘以一定的权重来计算 LCR。
现金流权重将取决于现金流的类型和特征，包括以下因素：

 对于由存款驱动的现金流出，考虑稳定或不稳定、已投保或未投保。不太稳定或没有保险的存款将使用较高的权
重。
 交易对手方：相较于非金融交易对手，来自金融交易对手的现金流将使用更高的权重。
 对于有担保的融资/贷款，标的证券的信用评级越差，则适用的权重越高。与 HQLA 资产支持的现金流相比较，非
HQLA 资产支持的现金流将使用较高的权重。
 金融衍生品产生的现金流入和流出使用 100% 的权重。

1.3 A Simple Example 简例
Here is a simple example to show the impact of simple transactions to the LCR impact. Suppose a bank got a funding sourced from
retail deposits (insured in Canada) of $100, it will result in net cash outflow requirement of $3 as the run-off rate is 3% for this
type of funding instruments. If the bank invested the entire $100 as a term loan (more than 1 year maturity) to customers, the
HQLA impact will be zero since the loan can not be qualified as HQLA. Ignoring the interest for simplicity, the LCR impact will be
zero. To meet LCR threshold of 100%, there must be HQLA assets of $3 or more. If invested in BBB corporate bond, and it can be
qualified as L2B assets, the amount invested must be $6 or more given the weight of 50%. The LCR calculations are illustrated
below.

Market Value Weight Weighted Amount
HQLA BBB Corporate Bond 6 50% 3
Non HQLA Term Loan 94 ０ 0
Total Investment 100 ３
Total HQLA 3
Net Cash Outflow Retail Deposits, Insured, in Canada 100 3% 3
Total Funding 100 ３
LCR 100%

这是一个简单的例子来展示简单交易对 LCR 的影响。假设一家银行从零售存款（在加拿大投有存款保险）中获得 100 美元
的资金，那么， 因为此类融资的权重为 3%， 这将导致 3 美元的净现金流出要求。如果该银行将全部 100 美元作为定期贷
款（超过 1 年到期）发放给客户，则 该笔交易的 HQLA 将计算为零，因为该贷款不符合计入 HQLA 的规定。如不考虑利息，
LCR 将计算为零。要达到 100% 的 LCR 最低监管要求，必须有 3 美元或更多的 HQLA 资产。如果投资于 BBB 公司债券，且
符合 计入 2B 级 HQLA 资产的条件，那么考虑到 50%的权重须用于 2B 级 HQLA 资产（非 RMBS）， 则 BBB 公司债券投资金
额必须在 6 美元或更多。 LCR 计算如下表所示。

CCFA JOURNAL OF FINANCE August 2022 Page 31 第31页