Page 33 - CCFA Journal - 8th Issue

加中金融 风险控制 Risk Management

2.2 Cash Outflows from Assets 资产方现金流出

Cash outflows from assets include the following instruments:

 Deposits, including retail, small business, commercial, corporate, wholesale deposits, and other deposits and guarantees.
 Wholesale issuance, such as BAs, commercial papers, Banks’s ABCP, ABS, and MBS
 Securities lent from repos and security lending transactions
 Securities sold short
 Other liabilities such as derivatives and commodities in the short position

来自资产方的现金流入包括以下产品：
 存款，包括零售、小型企业、商业、公司、批发存款以及其他存款和担保。
 批发发行产品，例如银行承兑（BA）、商业票据、银行发行的 ABCP、ABS 和 MBS
 从回购和证券借贷交易中借出的证券
 证券空头头寸
 空头头寸中的其他负债，例如金融衍生品和大宗商品

2.3. Collateral 抵押品

Collaterals include both cash inflows and outflows, various types of securities arising from derivatives and clearing houses, and
security lending and financing. If mater netting agreements exist, cash inflows can offset cash outflows by counterparty. Securities
include fixed income securities and equities as listed above, and typical security lending and financing transactions include repos,
revers repos, and collateral swaps.

抵押品包括现金流入和流出、衍生品清算、以及证券借贷和融资所产生的各种证券。如果存在净额结算协议，现金流入可
以抵消交易对手的现金流出。证券包括上述固定收益证券和股票。典型的证券借贷和融资交易包括回购、逆回购和抵押品
互换。

2.4 Off-balance sheet commitment 资产负债表外承诺
Mostly they are credit and liquidity facilities and could be drawn or undraw portion. Typically, those items come from revolving
loans, which have drawn and undrawn portion, and due to uncertainty of undrawn, those items are put into Balances but not in
any cash flow time buckets within one year.

它们大多是信贷和流动性工具，可以是提取的部分或未提取的部分。通常，这类现金流来自循环贷款，包括已提取和未提
取部分。由于未提取不分的不确定性，它们一般放入余额部分而不是某个现金流时间段。

References 参考文献

[1] Basel Committee on Banking Supervision, Principles for Sound Liquidity Risk Management and Supervision, 2008.

[2] OSFI, Liquidity Adequacy Requirements (LAR) Chapter 2 – Liquidity Coverage Ratio, Effective April 1, 2023, 2022.

[3] OSFI, Liquidity Adequacy Requirements (LAR) Chapter 4 – Net Cumulative Cash Flow, Effective April 1, 2023, 2022.

CCFA JOURNAL OF FINANCE August 2022 Page 33 第33页