Appendix A Illustrative Summary of the LCR
Item | Factor |
Stock of HQLA | |
A. Level 1 Assets
|
|
• Coins and banknotes;
• Qualified balances with the CBB (including placements and reserves);
• Sukuk issued by the CBB or the Government of Bahrain;
• Sukuk issued governments of GCC member states and their central banks;
• Sukuk that can be monetised and issued or guaranteed by sovereigns, central banks, PSEs, IMF, BIS, ECB, EC, or MDBs;
• Sukuk issued in local currency by sovereign or the country's central bank, where the liquidity risk arises or the banks home country—given a non-0 percent Risk-weight (RW); and
• Sukuk issued in foreign currency by sovereign or central bank that does not exceed the value of the net cash outflow in the foreign currency caused by a stress scenario based on the bank's operations in the country where the liquidity risk arises from—given a non-0 percent RW.
|
100% |
Total level 1 Assets | |
B. Level 2 assets (maximum of 40 percent Of HQLA)
|
|
1) Level 2A assets
|
|
• Sukuk that can be issued and liquidated or guaranteed by sovereigns, central banks, PSEs, and qualified MDBs;
• Sukuk qualified for liquidation (including commercial paper); and
• Qualified covered bonds.
|
85% |
2) Level 2B assets (maximum of 15 percent of HQLA)
|
|
• Sukuk (including commercial paper) issued by qualified non-financial institutions; and
• Qualified common equity shares
|
50% |
Total level 2 Assets (1+2) | |
Total value of stock of HQLA | |
Cash Outflows | |
Retail Mudaraba, Wakala and Reverse Murabaha Deposits | |
Demand deposits and term deposits (maturity within 30 days): | |
• Stable deposits; and
|
3% |
• Less stable—retail deposits
|
10% |
B. Unsecured Wholesale Funding
|
|
Small Business Customer deposits | 10% |
Operational deposits generated by clearing, custody, and cash management: | 25% |
Deposits from non-financial institutions, sovereign, central banks, multilateral development banks, PSEs, and Bahrain's Social Insurance Organization and GCC PIFs where PIF is a controller of the bank. | 40% |
Deposits from other legal entity corporations. | 100% |
C. Secured Funding
|
|
• Backed by level 1 assets or with central banks;
|
0% |
• Backed by level 2A assets;
|
15% |
• Secured funding transactions with domestic sovereign, PSE's or multilateral development banks that are not baked by level 1 or 2A assets;
|
25% |
• Backed by other level 2B assets;
|
50% |
• All others.
|
100% |
D. Other Cash Outflow
|
|
Net Shari'a-compliant hedging contract cash outflow | 100% |
Asset-backed securities, covered sukuks, and other structured financing instruments | 100% |
Asset-backed commercial sukuk, securities investment vehicles, and other similar financing tool | 100% |
Committed: credit and liquidity facilities given by bank to: | |
• Retail (including credit cards) and small business customers (from amount not used);
|
5% |
• Non-financial corporates, sovereigns and central banks, PSEs and multilateral development banks (from amount not used);
|
10% credit 30% Liquidity |
• Banks subject to prudential supervision (from amount not used);
|
40% |
• Other financial institutions (including securities firms and insurance firms) (from amount not used);
|
40% credit 100% liquidity |
• Other legal entities (from amount not used).
|
100% |
Other Contingent Funding Obligations | |
• Guarantees, LCs, revocable credit and liquidity facilities, non-contractual commitments;
|
5% |
• Customer short positions that are covered by other customers' collateral.
|
50% |
Increased liquidity needs related to the potential for valuations changes on posted collateral | 20% |
Other contractual cash outflows | 100% |
Total Cash Outflow | |
Cash Inflows | Inflow rates |
A. Secured lending transactions backed by the following asset category:
|
|
Level 1 assets; | 0% |
Level 2A assets; and | 15% |
Level 2B assets. | 50% |
Margin lending backed by all other collateral: | 50% |
Other collateral. | 100% |
B. Committed facilities—credit and liquidity facilities given to banks;
|
0% |
C. Other inflows by:
|
|
• Retail and small business customer;
|
50% |
• Non-retail customers:
|
|
1. Financial institutions and central banks; and
2. Non-financial institutions.
|
100% 50% |
• Operational deposits held at other financial institutions.
|
0% |
D. Other net Shari'a-compliant hedging contract cash inflows; and
|
100% |
E. Other contractual cash inflows.
|
100% |
Total Cash Inflows | |
Net cash outflow = total cash outflow—total cash inflow or lowest value (75 percent of total cash outflow). | |
Liquidity coverage ratio—HQLA / Net cash outflow. |
Amended: July 2019
August 2018
August 2018