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.
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 derivative liabilities, as calculated according to LM-12.4.3 and LM-12.4.4, and NSFR derivative assets, as calculated according to LM-12.4.21 and LM-12.4.22, if the NSFR derivative liabilities are greater than NSFR derivative 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 derivative liabilities - NSFR derivative assets), 0).
August 2018