A. Secured Financing, Including Shari'a Compliant Reverse Repurchase Agreements and Securities Borrowing
LM-11.4.4
A bank must assume that maturing financing transactions secured by level 1 assets will be rolled-over and will not give rise to any cash inflows; as a result, an inflow factor of 0 percent will be applied to this kind of transaction. While maturing financing transactions secured by Level 2 HQLA will lead to cash inflows equivalent to the relevant haircut for the specific assets. A bank is assumed not to roll-over maturing secured financing transactions which have been secured by non-HQLA assets, and can assume receiving back 100 percent of the cash related to those agreements (i.e. an inflow factor of 100 percent).
August 2018LM-11.4.5
Maturing secured lending transactions backed by different asset categories will receive different factors provided that the collateral obtained through Shari'a compliant reverse repurchase agreements, or securities borrowing which matures within the 30-day horizon, is not used to cover short positions.
August 2018LM-11.4.6
If the collateral obtained through Shari'a compliant reverse repurchase or securities borrowing matures within the 30-day horizon, and is re-used to cover short positions that could be extended beyond 30 days, a bank must assume that the Shari'a compliant reverse repurchase agreements or securities borrowing arrangements will be rolled-over and will not give rise to any cash inflow (0 percent).
August 2018LM-11.4.7
In the case of a bank's short positions, if the short position is being covered by an unsecured security borrowing, the bank must assign a 100 percent outflow of either cash or HQLA to secure the borrowing, or cash to close out the short position by buying back the security. This must be assigned a 100% run-off rate under the other contractual cash outflows described in LM-11.3.10(F). However, if the bank's short position is being covered by a collateralized securities financing transaction, the bank must assume the short position will be maintained throughout the 30-day period and receive a 0 percent outflow.
August 2018
