Back Custom print Link Text Only Rich Text Print

  • Off-balance Sheet Exposures

    • LM-12.4.32

      Many potential OBS liquidity exposures require little direct or immediate funding, but can lead to significant liquidity drains over a longer time horizon. The NSFR assigns an RSF factor to various OBS activities in order to ensure that institutions hold stable funding for the portion of OBS exposures that may be expected to require funding within a 1-year horizon.

      August 2018

    • LM-12.4.33

      Consistent with the LCR, the NSFR identifies OBS exposure categories based broadly on whether the commitment is a credit or liquidity facility, or some other contingent funding obligation. Table 3 identifies the specific types of OBS exposures to be assigned to each OBS category and their associated RSF factor.

      Table 3: Summary of OBS Categories and Associated RSF Factors

      RSF Factor RSF Category
      5% of the currently undrawn portion
      •   Irrevocable and conditionally revocable credit and liquidity facilities;
      •   Other contingent funding obligations, including products and instruments such as:
      •   Unconditionally revocable credit and liquidity facilities;
      •   Trade finance-related obligations (including guarantees and letters of credit);
      •   Guarantees and letters of credit unrelated to trade finance obligations;
      •   Non-contractual obligations such as:
      •   Potential requests for debt repurchases of the bank's own debt, or that of related conduits, securities investment vehicles and other such financing facilities;
      •   Structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes ('VRDNs').
      •   Managed funds that are marketed with the objective of maintaining a stable value.
      August 2018