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  • 7) Assets Assigned a 85 Percent RSF Factor

    • LM-12.4.29

      Assets assigned an 85 percent RSF factor comprise:

      (a) Cash, securities or other assets posted as initial margin for derivative contracts15 and cash or other assets provided to contribute to the default fund of a central counterparty ('CCP'). Where securities or other assets, posted as initial margin for derivative contracts, would otherwise receive a higher RSF factor, they must retain that higher factor.
      (b) Other unencumbered performing loans16 that do not qualify for the 35 percent or lower risk weight under the CBB Capital Adequacy Ratio Guidelines and have residual maturities of 1 year or more, excluding loans and deposits with financial institutions;
      (c) Unencumbered securities with a remaining maturity of 1 year or more and exchange-traded equities, in cases where the issuer is not in default and where the securities do not qualify as HQLA according to the LCR; and
      (d) Physical traded commodities, including gold.

      15 Initial margin posted on behalf of a customer, where the bank does not guarantee performance of the third party, would be exempt from this requirement.

      16 Performing loans are considered to be those that are not past due for more than 90 days. Conversely, non-performing loans are considered to be loans that are more than 90 days past due.

      August 2018