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