Back Custom print Link Text Only Rich Text Print

  • 5) Liabilities Receiving a 0 Percent ASF Factor

    • LM-12.4.11

      Liabilities receiving a 0 percent ASF factor comprise:

      (a) All other liability categories not included in the above categories, including other funding with residual maturity of less than 6 months from the central bank and financial institutions;
      (b) Other liabilities without a stated maturity. This category may include short positions and open maturity positions. Two exceptions can be recognized for liabilities without a stated maturity:
      i. First, deferred tax liabilities, which must be treated according to the nearest possible date on which such liabilities could be realized; and
      ii. Second, minority interest, which must be treated according to the term of the instrument, usually in perpetuity.
      These exceptions would then be assigned either a 100 percent ASF factor if the effective maturity is 1 year or greater, or 50 percent, if the effective maturity is between 6 months and less than 1 year.
      (c) NSFR Shari'a-compliant hedging contract liabilities, as calculated according to LM-12.4.3 and LM-12.4.4, and NSFR Shari'a-compliant hedging contract assets, as calculated according to LM-12.4.21 and LM-12.4.22, if the NSFR Shari'a-compliant hedging contract liabilities are greater than NSFR Shari'a-compliant hedging contract assets; 11 and
      (d) 'Trade date' payables arising from purchases of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction, or (ii) have failed to, but are still expected to, settle.

      11 In this case, ASF = 0% x MAX ((NSFR Shari'a-compliant hedging contract Shari'a-compliant hedging contract liabilities—NSFR Shari'a-compliant hedging contract assets), 0).

      August 2018

    • LM-12.4.12

      Table (1) below summarizes the components of each of the ASF categories and the associated maximum ASF factor to be applied in calculating a bank's total amount of available stable funding.

      Table 1: Summary of Liability Categories and Associated ASF Factors

      ASF Factor Components of ASF Category
      100%
      •   Total regulatory capital (excluding Tier 2 instruments with a residual maturity of less than 1 year);
      •   Other capital instruments and liabilities with an effective residual maturity of 1 year or more;
      •   Deferred tax liabilities with a residual maturity of 1 year or greater; and
      •   Minority interest with a residual maturity of 1 year or more.
      95% Stable demand deposits, saving deposits and term deposits with a residual maturity of less than 1 year provided by retail customers.
      90% Less stable demand deposits, saving deposits and term deposits with a residual maturity of less than 1 year provided by retail and small business customers.
      50%
      •   Funding with a residual maturity of less than 1 year provided by non-financial corporate customers;
      •   Operational deposits;
      •   Funding with a residual maturity of less than 1 year from sovereigns, PSEs, and multilateral and national development banks, Bahrain's Social Insurance Organization and GCC PIFs (where the PIF is a controller of the bank);
      •   Other secured or unsecured funding with a residual maturity between 6 months and less than 1 year not included in the above categories, including funding provided by central banks and financial institutions;
      •   Deferred tax liabilities with a residual maturity of between 6 months and less than 1 year; and
      •   Minority interest with residual maturity between 6 months and less than 1 year.
      ASF Factor Components of ASF Category
      0%
      •   All other liabilities and equity not included in the above categories, including liabilities without a stated maturity (with a specific treatment for deferred tax liabilities and minority interests);
      •   NSFR Shari'a-compliant hedging contract liabilities net of NSFR Shari'a-compliant hedging contract assets if NSFR Shari'a-compliant hedging contract liabilities are greater than NSFR Shari'a-compliant hedging contract assets; and
      •   'Trade date' payables arising from purchases of financial instruments, foreign currencies and commodities.
      Amended: January 2020
      August 2018