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 loans and deposits with financial institutions with residual maturities of less than 6 months, where the loan is secured against level 1 HQLA and where the bank has the ability to freely rehypothecate the received collateral for the life of the loan. |
| 15% |
• Unencumbered level 2A HQLA;
• All other unencumbered loans 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;
• Loans 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 loans to non-financial corporate clients, loans to retail and small business customers, and loans 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 loans and deposits not included in the above categories, excluding loans 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 derivative contracts and cash or other assets provided to contribute to the default fund of a CCP;
• Other unencumbered performing loans with risk weights greater than 35 percent, as per the CBB Capital Adequacy Ratio Guidelines and residual maturities of 1 year or more, excluding loans 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 derivative assets net of NSFR derivative liabilities, if NSFR derivative assets are greater than NSFR derivative liabilities;
• 20 percent of derivative 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 loans (net of specific provisions), loans 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