• 8) Assets Assigned a 100 Percent RSF Factor

    • LM-12.4.30

      Assets assigned a 100 percent RSF factor comprise:

      (a) All assets that are encumbered for a period of 1 year or more;
      (b) NSFR derivative assets, as calculated according to LM-12.4.21 and LM-12.4.22, and NSFR derivative liabilities, as calculated according to LM-12.4.3 and LM-12.4.4, if NSFR derivative assets are greater than NSFR derivative liabilities;17
      (c) All other assets not included in the above categories, including non-performing loans (net of specific provisions), loans and deposits with financial institutions with a residual maturity of 1 year or more, non-exchange-traded equities, fixed assets, items deducted from regulatory capital, insurance assets and defaulted securities; and
      (d) 20 percent of derivative liabilities (i.e. negative replacement cost amounts), as calculated according to LM-12.4.3 (before deducting variation margin posted). The CBB has the discretion to lower the value of this factor, with a floor of 5%.

      17 RSF = 100% x MAX ((NSFR derivative assets - NSFR derivative liabilities), 0).

      August 2018

    • LM-12.4.31

      Table 2 summarizes the specific types of assets to be assigned to each asset category and their associated RSF factor.

      Table 2: Summary of Asset Categories and Associated RSF Factors

      RSF Factor Components of RSF Factor
      0%
      •   Coins and banknotes;
      •   All central bank reserves;
      •   All claims on central banks with residual maturities of less than 6 months; and
      •   'Trade date' receivables arising from the sales of financial instruments, foreign currencies and commodities.
      5% Unencumbered level 1 HQLA, excluding coins, banknotes and central bank reserves.
      10% Unencumbered loans and deposits with financial institutions with residual maturities of less than 6 months, where the loan is secured against level 1 HQLA and where the bank has the ability to freely rehypothecate the received collateral for the life of the loan.
      15%
      •   Unencumbered level 2A HQLA;
      •   All other unencumbered loans and deposits with financial institutions with residual maturities of less than 6 months not included in the above categories.
      50%
      •   Unencumbered level 2B HQLA;
      •   HQLA encumbered for a period of 6 months or more, and less than 1 year;
      •   Loans and deposits with financial institutions and central banks with residual maturities between 6 months and less than 1 year;
      •   Deposits held at other financial institutions for operational purposes; and
      •   All other assets not included in the above categories with residual maturity of less than 1 year, including loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns and PSEs.
      65%
      •   Unencumbered residential mortgages with a residual maturity of 1 year or more, and with a risk weight of less than or equal to 35 percent, as per the CBB Capital Adequacy Ratio Guidelines; and
      •   Other unencumbered loans and deposits not included in the above categories, excluding loans and deposits with financial institutions, with a residual maturity of 1 year or more, and with a risk weight of less than or equal to 35 percent, as per the CBB Capital Adequacy Ratio Guidelines.
      85%
      •   Cash, securities or other assets posted as initial margin for derivative contracts and cash or other assets provided to contribute to the default fund of a CCP;
      •   Other unencumbered performing loans with risk weights greater than 35 percent, as per the CBB Capital Adequacy Ratio Guidelines and residual maturities of 1 year or more, excluding loans and deposits with financial institutions;
      Unencumbered securities that are not in default and do not qualify as HQLA 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
      •   Physical traded commodities, including gold.
      100%
      •   All assets that are encumbered for a period of 1 year or more;
      •   NSFR derivative assets net of NSFR derivative liabilities, if NSFR derivative assets are greater than NSFR derivative liabilities;
      •   20 percent of derivative liabilities (net of eligible cash variation margin); The CBB has discretion to lower the value of this factor, with a floor of 5%; and
      •   All other assets not included in the above categories, including non-performing loans (net of specific provisions), loans and deposits with financial institutions with a residual maturity of 1 year or more, non-exchange-traded equities, fixed assets, items deducted from regulatory capital, insurance assets and defaulted securities.
      August 2018