LM-12.4.18
Encumbered assets receive RSF factors as follows:
(a) Assets on the balance sheet that are encumbered for 1 year or more receive a 100 percent RSF factor;
(b) Assets encumbered for a period of between 6 months and less than 1 year receive the following RSF factors:
i. 50 percent RSF factor if these assets would receive an RSF factor lower than or equal to 50 percent if unencumbered; and
ii. If these assets receive an RSF factor higher than 50 percent if unencumbered, the higher RSF factor is applied.
(c) Where assets have less than 6 months remaining in the encumbrance period, those assets may receive the same RSF factor as an equivalent asset that is unencumbered.
Assets that are encumbered for exceptional 13 central bank liquidity operations receive 0 percent RSF factor.
13 In general, exceptional central bank liquidity operations are considered to be non-standard, temporary operations conducted by the central bank in a period of market-wide financial stress and/or exceptional macroeconomic challenges.
August 2018