Liabilities and Capital Receiving a 100 percent ASF Factor
LM-12.4.5
Liabilities and capital instruments receiving a 100 percent ASF factor comprise:
(a) The total amount of regulatory capital, before the application of capital deductions9, including general provisions calculated under the regulatory capital and excluding the proportion of Tier 2 instruments with residual maturity of less than 1 year. With regards to branches of foreign banks, this category includes the actual value of funds designated for the branch/branches;(b) The total amount of any capital instrument not included in (a ) that has an effective residual maturity of 1 year or more, but excluding any instruments with explicit or embedded options that, if exercised, would reduce the expected maturity to less than 1 year; and(c) The total amount of secured and unsecured borrowings and liabilities (including term deposits) with effective residual maturities of 1 year or more. Cash flows falling below the 1-year horizon, but arising from liabilities with a final maturity greater than 1 year do not qualify for the 100 percent ASF factor.
9 Capital instruments reported here should meet all requirements outlined in CBB Capital Adequacy Ratio—Basel III Guidelines.
August 2018
