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  • 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 Shari'a-compliant hedging contract assets, as calculated according to LM-12.4.21 and LM-12.4.22, and NSFR Shari'a-compliant hedging contract liabilities, as calculated according to LM-12.4.3 and LM-12.4.4, if NSFR Shari'a-compliant hedging contract assets are greater than NSFR Shari'a-compliant hedging contract liabilities;17
      (c) All other assets not included in the above categories, including non-performing financing (net of specific provisions), financing 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 Shari'a-compliant hedging contract 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 Shari'a-compliant hedging contract assets—NSFR Shari'a-compliant hedging contract 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 financing and deposits with financial institutions with residual maturities of less than 6 months, where the financing is secured against level 1 HQLA and where the bank has the ability to freely re-hypothecate the received collateral for the life of the financing.
      15%
      •   Unencumbered level 2A HQLA;
      •   All other unencumbered financing 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;
      •   Financing 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 financing to non-financial corporate clients, financing to retail and small business customers, and financing 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 financing and deposits not included in the above categories, excluding financing 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 Shari'a-compliant hedging contracts and cash or other assets provided to contribute to the default fund of a CCP;
      •   Other unencumbered performing financing with risk weights greater than 35 percent, as per the CBB Capital Adequacy Ratio Guidelines and residual maturities of 1 year or more, excluding financing 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 Shari'a-compliant hedging contract assets net of NSFR Shari'a-compliant hedging contract liabilities, if NSFR Shari'a-compliant hedging contract assets are greater than NSFR Shari'a-compliant hedging contract liabilities;
      •   20 percent of Shari'a-compliant hedging contract 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 financing (net of specific provisions), financing 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