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 2018LM-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