Net Stable Funding Ratio (NSFR) is one of the two minimum standards developed to promote funding and liquidity management in financial institutions. NSFR assesses the bank’s liquidity risks over a longer time horizon. Both the standards, complement each other, are aimed at providing a holistic picture of a bank’s funding risk profile, and aid in better liquidity risk management practices.
Topics:
· Overview
· Preconfigured BNM Regulatory NSFR Scenarios
NSFR is defined as the amount of available stable funding relative to the required stable funding. Available stable funding refers to the portion of capital and liabilities expected to be reliable over the horizon of 1 year. Required stable funding refers to the portion of assets and off-balance sheet exposures over the same horizon. The NSFR ratio is expected to be at least 100%.
The Available Stable Funding (ASF) factor and Required Stable Funding (RSF) factor is applied through business assumptions and reflects through the execution of a Business as Usual (BAU) run in the OFS LRRCBNM application. The ASF and RSF factors are applied as weights at the account level and the Total ASF and Total RSF are obtained by taking a sum of all the weighted amounts. The ratio is then computed by the application as the Total ASF amount divided by the Total RSF amount. A set of pre-defined business assumptions for ASF and RSF as defined in the NSFR guidelines are prepackaged in the application. For the complete list of pre-seeded ASF and RSF, assumptions , see the Regulation Addressed through Business Assumptions section.
Topics:
· Computing Available Amount of Stable Funding
· Computing Required Amount of Stable Funding
· Computing Net Stable Funding Ratio
One of the various dimensions used to allocate ASF and RSF factors is the maturity bucket of the instrument. For NSFR computation, maturity bands are used to allocate the factors. The BNM NSFR band is pre-defined as per regulatory guidelines and has the following values:
· Less than 6 months
· Greater than or equal to 6 months but less than 1 year
· Greater than or equal to one year
· Open maturity
All accounts will be categorized on one of these bands depending on the maturity date. Note that to categorize any product into open maturity, the LRM - Classification of Products as Open Maturity rule should be edited, and the product must be included in the rule.
The available stable funding factor is a pre-determined weight ranging from 0% to 100% which is applied through business assumptions for accounts falling under the dimensional combinations defined. The weights are guided by the NSFR standard. The available stable funding is then taken as a total of all the weighted amounts where an ASF factor is applied.
Foreign bank branches can account for the undrawn contractual committed facilities from its head office or other branches which are the same entity and are regional hubs as ASF up to 40% of the minimum ASF required meeting the minimum requirement of NSFR.
The formula for calculating the Available Amount of Stable Funding is as follows:
The following is an example of applying the ASF factor:
Consider an assumption defined with the following dimensional combination and ASF factors, based on the measure being Total Stable Balance.
Dimensional Combination |
ASF Factor |
||
|---|---|---|---|
Product |
Retail/Wholesale Indicator |
Residual Maturity Band |
|
Deposits |
R |
<= 6 months |
95% |
Deposits |
R |
6 months - 1 year |
95% |
Deposits |
R |
>= 1 year |
95% |
If five accounts are falling under this combination, then after the assumption is applied the resulting amounts with the application of ASF factors is as follows.
Account |
Stable Balance |
ASF Weighted Amount |
|---|---|---|
A1 |
3400 |
3230 |
A2 |
3873 |
3679.35 |
A3 |
9000 |
8550 |
A4 |
1000 |
950 |
A5 |
100 |
95 |
LRRCBNM application does not compute ASF items such as Tier 1 and Tier 2 capital, deferred tax liabilities, and minority interest. The items are taken as a download from the OFS Basel application. By updating the latest Basel Run Skey as a setup parameter, the LRRCBNM application picks up the respective standard accounting head balances and applies the respective ASF factors.
If OFS Basel is not installed, then the following items must be provided as a download in the FCT_STANDARD_ACCT_HEAD table.
· Gross Tier 2 Capital
· Deferred Tax Liability related to Other Intangible Asset
· Deferred Tax Liability related to Goodwill
· Deferred Tax Liability related to MSR
· Deferred Tax Liability related to Deferred Tax Asset
· Deferred Tax Liability related to Defined Pension Fund Asset
· Net CET1 Capital post-Minority Interest Adjustment
· Net AT1 Capital post-Minority Interest Adjustment
· Total Minority Interest required for NSFR
The required stable funding factor is a pre-determined weight ranging from 0% to 100% which is applied through business assumptions for the accounts falling under the defined dimensional combinations. The weights are as guided by the NSFR standard. The required stable funding is then considered as a sum of all the weighted amounts where an RSF factor is applied.
The required stable funding factor is a weight function and is applied similarly to that of the ASF. following formula is used for calculating the Required Amount of Stable Funding:
Off-balance sheet items are considered under the application of RSF factor and are given the appropriate factor as guided. Some combinations such as the lines of credit have a pre-defined RSF factor as guided and are available as pre-seeded assumptions. Other off-balance sheet products such as Variable Rate Demand Notes (VRDN) and Adjustable Rate Notes (ARN) do not have pre-defined factors and are left to the discretion of the jurisdictions. For such products, define assumptions and apply the desired RSF factors as applicable.
Derivatives are handled by applying both ASF and RSF factors as applicable. They can behave as either an asset or a liability, depending on the marked to market value. The application of factors on derivatives is done on the market value after subtracting the variation margin posted/received against the account. The computation is described as follows:
1. NSFR derivative liabilities = Derivative liabilities – (Total collateral posted as variation margin against the derivative liabilities)
2. NSFR derivative assets = Derivative assets – (Cash collateral received as variation margin against the derivative assets)
3. The factors are then applied as follows:
§ ASF factor application
ASF amount for derivatives = 0% * Max ((NSFR derivative liabilities – NSFR derivative assets), 0)
§ RSF factor application
RSF amount for derivatives = 100% * Max ((NSFR derivative assets- NSFR derivative liabilities), 0)
Derivative liabilities refer to those derivative accounts where the market value is negative. Derivative assets refer to those derivative accounts where the market value is positive. Apart from the variation margin, the initial margin against derivative contracts is also treated with the appropriate factor.
The Net Stable Funding Ratio is calculated as follows:
OFS LRRCBNM supports out-of-the-box BNM NSFR assumptions according to BNM guidelines on the Net stable funding ratio.
This section explains the business assumptions which support NSFR as per BNM master circular BNM/RH/ED 029-3: Regulations on the Net Stable Funding Ratio (NSFR), September 2017.
The following table lists the Document Identifiers provided in the Regulatory Reference column of the Regulations Addressed through Business Assumptions section.
Regulation Reference Number |
Document Number |
Document Name |
Issued Date |
|---|---|---|---|
MC |
BNM/RH/ED 029-3 |
Regulations on the Net Stable Funding Ratio (NSFR) |
27 Sept 17 |
BNM FAQ |
|
Deposit Insurance Handbook |
|
NOTE:
This section provides only contextual information about business assumptions. For more detailed information, see the OFS LRS application (UI).
The application supports multiple assumptions with preconfigured rules and scenarios based on regulator specified NSFR scenario parameters. The list of preconfigured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following tables:
Topics:
· Available Stable Funding Factor
· Required Stable Funding Factor
This section enlists all the pre-seeded assumptions acting on liabilities and capital items which receive an ASF factor.
Sl. No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference BNM/RH/PD 029-13 |
|---|---|---|---|---|
1 |
BNM- ASF- Capital items, DTL and minority interest |
Tier 1 and Tier 2 capital, deferred tax liabilities and minority interest |
This assumption defines the long-term funding sources with an effective maturity of one year or more, primarily tier 1 and tier 2 capital instruments along with deferred tax liability and minority interest, which are assigned a 100% ASF factor for the NSFR computation. |
Paragraphs 8.9, 8.12(c), 8.13(a), 8.14(a), 8.15 |
2 |
BNM-ASF-Stable retail deposits |
ASF- Stable and highly stable deposits as defined in the LCR from customers treated as retail. |
The ASF factors applicable to the stable portion of deposits, from retail customers and SMEs treated like retail customers for LCR are pre-defined as part of this assumption. This assumption applies a 95% ASF factor on the stable portion of the retail deposits and a 100% ASF factor on the stable portion of retail deposits with a remaining maturity of 1 year or more. |
Paragraphs 8.9, 8.10 |
3 |
BNM-ASF-Stable retail deposits-Cash flow basis |
ASF- Stable and highly stable deposits as defined in the LCR from customers treated as retail with a remaining maturity of more than 1 year and cash flow maturity of within 1 year and greater than 1 year. |
The ASF factors applicable to the stable portion of deposits, from retail customers and SMEs treated like retail customers for LCR, with a remaining maturity of more than 1 year with cash flow maturities within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 95% ASF factor on the stable portion of cash flows with cash flow maturity within 1 year and a 100% ASF factor on the stable portion of cash flows with cash flow maturity of 1 year or more. |
Paragraphs 8.9, 8.10 |
4 |
BNM-ASF-Less stable retail deposits |
ASF- Less stable deposits as defined in the LCR from customers treated as retail. |
The ASF factors applicable to the less stable portion of deposits, from retail customers and SMEs treated like retail customers for LCR, are pre-defined as part of this assumption. This assumption applies a 90% ASF factor on the stable portion of retail deposits with a remaining maturity of less than 1 year and a 100% ASF factor on the stable portion of retail deposits with a remaining maturity of 1 year or more. |
Paragraphs 8.9, 8.11(a) |
5 |
BNM-ASF-Less stable retail deposits-Cash flow basis |
ASF- Less stable deposits as defined in the LCR from customers treated as retail with a remaining maturity of more than 1 yr and cash flow maturity of less than 1 year and 1 year or more. |
The ASF factors applicable to the less stable portion of deposits from retail customers and SMEs treated like retail customers for LCR, with a remaining maturity of more than 1 year with cash flow maturity within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 90% ASF factor on the stable portion of cash flows with cash flow maturity of less than 1 year and a 100% ASF factor on the stable portion of cash flows with cash flow maturity of 1 year or more. |
Paragraphs 8.9, 8.11(a) |
6 |
BNM-ASF-Other funds from retail |
Other funding from customers treated as retail. |
The ASF factors applicable to the funding other than deposits, from customers who are treated as retail for LCR, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on the funding with a remaining maturity of less than 6 months and 50% on the funding with a remaining maturity between 6 months to 1 year and 100% on the funding with a remaining maturity of 1 year or more. |
Paragraphs 8.9, 8.11(b) |
7 |
BNM-ASF-Other funds from retail with mat more than 1yr |
Other funding from customers treated as retail with an account residual maturity of more than 1 year |
The ASF factors applicable to the funding other than deposits, from customers who are treated as retail for LCR, with a remaining maturity of more than 1 year with cash flow maturity within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on cash flows with maturity less than 6 months and a 50% to cash flows with maturity between 6 months to 1 year and a 100% ASF factor on cash flows with the maturity of 1 year or more. |
Paragraphs 8.9, 8.11(b) |
8 |
BNM- ASF - Op dep with mat less than 1 yr |
BNM ASF on the operational portion of operational deposits, generated by clearing, custody, and cash management activities, with a remaining maturity of less than 1 year. |
The ASF factor applicable to the balance held in operational accounts to fulfill operational requirements is pre-defined as part of this assumption. This assumption applies a 50% ASF factor on the operational balances with a remaining maturity of less than 1 year. |
Paragraphs 8.9, 8.12(c), 8.13(a) |
9 |
BNM-ASF-Non op portion of op dep from SME with mat 1 yr |
BNM ASF on the non-operational portion for operational accounts from SMEs AoP, Trusts, partnerships, and HUFs not treated as retail, with remaining maturity less than 1 year. |
The ASF factor on the non-operational portion of operational accounts, from small and medium enterprises, an association of persons, trusts, partnerships and Hindu undivided families not treated as retail, with a remaining maturity of less than 1 year are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on non-operational balances of operational accounts with a remaining maturity of less than 1 year. |
Paragraphs 8.9, 8.12(c), 8.13(a) |
10 |
BNM-ASF-Non op dep from SME |
BNM ASF on non-operational wholesale funding, from SMEs AoP, Trusts, partnerships and HUFs not treated as retail. |
The ASF factor on non-operational wholesale funding, from small and medium enterprises, association of persons, trusts, partnerships and Hindu undivided families not treated as retail, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on non-operational funding with a remaining maturity of less than 6 months and a 50% ASF factor on non-operational funding with a remaining maturity between 6 months to 1 year and 100% ASF factor on non-operational funding with a remaining maturity of 1 year or more |
Paragraphs 8.9, 8.12(c), 8.13(a) |
11 |
BNM-ASF-Non op dep from SME - Cash flow basis |
BNM ASF on non-operational wholesale funding, from SMEs AoP, Trusts, partnerships, and HUFs not treated as retail, with remaining maturity greater than 1 year and where the cash flow maturity is within 1 year and greater than 1 year |
The ASF factor applicable to non-operational cash flows, from SMEs AoP, Trusts, partnerships, and HUFs not treated as retail, with a remaining maturity of greater than 1 year with cash flow maturity within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on non-operational cash flows with cash flow maturity of less than 6 months and a 50% ASF factor on non-operational cash flows with a remaining maturity between 6 months to 1 year and a 100% ASF factor on non-operational cash flows with cash flow maturity of 1 year or more. |
Paragraphs 8.9, 8.12(c), 8.13(a) |
12 |
BNM-ASF-Non op portion of op dep-CB with mat less than 1 yr |
BNM ASF on the non-operational portion of operational deposits, from Central banks, PSE, MDB, NDB, generated by clearing, custody, and cash management activities, with a remaining maturity of less than 1 year. |
The ASF factor applicable to the non-operational portion of operational accounts from central banks, public sector entity (PSE), multilateral development bank (MDB), national development bank (NDB), with a remaining maturity of less than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on a non-operational portion of operational accounts from central banks with a remaining maturity of less than 1 year and a 50% ASF factor on a non-operational portion of operational accounts from central banks, PSE, MDB, and NDB with a remaining maturity of less than 1 year. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
13 |
BNM-ASF-Non op funds from CB PSE MDB NDB - Cash Flow Basis |
BNM ASF on non-operational funding, from central banks, PSE, MDB, NDB, with remaining maturity greater than 1 year and where the cash flows are maturing within 1 year and greater than 1 year. |
The ASF factor applicable to non-operational cash flows from central banks, PSE, MDB, NDB, with a remaining maturity of greater than 1 year with cash flow maturity within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on non-operational cash flows from central banks with cash flow maturity of less than 6 months, a 50% ASF factor for cash flow maturity between 6 months to 1 year, a 50% ASF factor on non-operational cash flows from PSE, MDB, and NDB with cash flow maturity of less than 1 year and a 100% ASF factor on non-operational cash flows from PSE, MDB, and NDB with cash flow maturity of 1 year or more. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
14 |
BNM-ASF-Non op funds from CB PSE MDB NDB |
BNM ASF on non-operational funding, from Central banks, financial institutions (banks) PSE, MDB, NDB. |
The ASF factor on non-operational funding from central banks, PSE, MDB, NDB, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on non-operational funding from central banks with a remaining maturity of less than 6 months, a 50% ASF factor for non-operational funding from PSE, MDB, and NDB between 6 months to 1 year and 100% ASF factor on non-operational funding from PSE, MDB, and NDB with a remaining maturity of 1 year or more. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
15 |
BNM-ASF-Non op portion of op dep-corp with mat less than 1yr |
BNM ASF on the non-operational portion of operational deposits, from financial and non-financial corporates, generated by clearing, custody, and cash management activities, with a remaining maturity of less than 1 year. |
The ASF factor applicable to the non-operational portion of operational accounts from financial and non-financial corporates, with a remaining maturity of less than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on a non-operational portion of operational accounts from financial corporates with a remaining maturity of less than 1 year and a 50% ASF factor on a non-operational portion of operational accounts from non-financial corporates with a remaining maturity of less than 1 year. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
16 |
BNM-ASF-Non op funds from Corp - Cash flow basis |
BNM ASF on non-operational funding, from financial and non-financial corporates, with remaining maturity greater than 1 year and where the cash flows are occurring within 1 year and greater than 1 year. |
The ASF factor applicable to non-operational cash flows from financial and non-financial corporates, with a remaining maturity of greater than 1 year with cash flow maturity within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 50% ASF factor on non-operational cash flows from non-financial corporates with cash flow maturity of less than 6 months and between 6 months to 1 year. The assumptions apply a 0% ASF factor on non-operational cash flows from financial corporates with cash flow maturity of less than 6 months and a 50% ASF factor on non-operational cash flows from financial corporates with cash flow maturity between 6 months to 1 year and a 100% ASF factor on non-operational cash flows from financial corporates with cash flow maturity of 1 year or more. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
17 |
BNM-ASF-Non op funds from Corp |
BNM ASF on non-operational funding, from financial and non-financial corporates. |
The ASF factor on non-operational funding from financial and non-financial corporates are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on non-operational funding from financial corporates with a remaining maturity of less than 6 months and a 50% ASF factor for non-operational funding from financial corporates with a remaining maturity between 6 months to 1 year. The assumptions also apply a 50% ASF factor on non-operational funding from non-financial corporates with a remaining maturity of less than 6 months, between 6 months to 1 year and a 50% ASF factor on non-operational funding from non-financial corporates with a remaining maturity of 1 year or more. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
18 |
BNM-ASF-Non op of op dep oth party with mat less than 1 yr |
BNM ASF on the non-operational portion of operational deposits, from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB and NDB, generated by clearing, custody, and cash management activities, with a remaining maturity of less than 1 year. |
The ASF factor applicable to the non-operational portion of operational accounts from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, with remaining maturity less than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor on the non-operational portion of operational accounts from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, and sovereign, PSE, MDB and NDB with a remaining maturity of less than 1 year. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
19 |
BNM-ASF-Non op funds other parties |
BNM ASF on non-operational funding, from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB. |
The ASF factor applicable to non-operational funding, from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, with remaining maturity less than 1 year are pre-defined as part of this assumption. This assumption applies a 0% ASF factor and a 50% ASF factor on non-operational funding from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB and NDB with a remaining maturity of less than 6 months and between 6 months to 1 year respectively. It applies a 100% ASF factor on non-operational funding from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB and NDB with a remaining maturity of 1 year or more. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
20 |
BNM-ASF-Non op funds other parties - Cash flow basis |
BNM ASF on non-operational funding, from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, with remaining maturity greater than 1 year and where the cash flows are occurring within 1 year and greater than 1 year. |
The ASF factor applicable to non-operational cash flows, from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB, and NDB, with remaining maturity greater than 1 year with cash flow maturity within 1 year and greater than 1 year, are pre-defined as part of this assumption. This assumption applies a 0% ASF factor and 50% ASF factor on non-operational cash flows from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB and NDB with cash flow maturity of less than 6 months and between 6 months to 1 year respectively. It applies a 100 % ASF factor on non-operational cash flows from all except retail, SME, AoP, Trusts, partnerships, HUF, corporates, banks, central banks, sovereign, PSE, MDB and NDB with cash flow maturity of 1 year or more. |
Paragraphs 8.9, 8.12(a), 8.12(b), 8.12(c), 8.13(a) |
21 |
BNM-ASF-Trade date payables |
Trade date payables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle. |
The ASF factor applicable to trade payable cash flows arising from purchases of foreign currencies, financial instruments, and commodities expected to settle within the standard settlement cycle, are pre-defined in this assumption. This assumption applies a 0% ASF factor on the trade payable cash flows. |
Paragraph 8.13(d) |
22 |
BNM-ASF-Liabilities with open maturity |
[BNM] : Secured deposits and all other borrowings and which do not have a stated maturity. |
The ASF factor applicable to all the other funding without any stated maturity is pre-defined in this assumption. This assumption applies a 0% ASF factor on all the fundings without any maturity. |
Paragraphs 8.13 (a), 8.13 (b) |
23 |
BNM-
ASF-Borr and Liabilities with maturities beyond 1 year |
Borrowings and liabilities with residual maturities and cash flows falling beyond 1 year. |
The ASF factors applicable to all other funding are with a remaining maturity of greater than 1 year with cash flow maturity within 1 year, are pre-defined in this assumption. This assumption applies a 0% ASF factor on the cash flows. |
Paragraph 8.9 |
This section enlists all the pre-seeded assumptions acting on assets and off-balance sheet items that receive an RSF factor.
Serial No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference : BNM/RH/ED 029-3 |
|---|---|---|---|---|
1 |
BNM-RSF-Coins and banknotes |
Coins, banknotes, cash and restricted cash held by the bank. |
The RSF factor applicable to coins, banknotes, and cash held by the bank, is pre-defined as a part of this assumption. This assumption applies a 0% RSF factor on the coins, banknotes, and cash held by the bank. |
Paragraph S 9.11.a |
2 |
BNM-RSF-Central Bank Reserves |
All central bank reserves, including, required reserves and excess reserves. |
The RSF factors applicable to required and excess central bank reserves are pre-defined as a part of this assumption. This assumption applies a 0% RSF factor to all central bank reserves. |
Paragraph S 9.11.b |
3 |
BNM-RSF-Unencumbered Claims on Central Banks |
Unencumbered loans and other claims on central banks |
The RSF factors applicable to fully performing unencumbered loans and claims on central banks, with a remaining maturity of less than 1 year, are pre-defined as part of this assumption. This assumption applies 0%, 50% and 100% RSF factors to the loans and claims on central banks with a remaining maturity of less than 6 months, between 6 months and 1 year, and 1 year or more respectively. |
Paragraphs S.9.11.c |
4 |
BNM-RSF-Encumbered Claims on Central Banks |
Encumbered loans and other claims on central banks |
The RSF factors applicable to fully performing encumbered loans and claims on central banks, maturing within a year and encumbrance period 1 year or more, are pre-defined as part of this assumption. For the qualifying assets with an encumbrance period of fewer than 6 months, the assumption applies 0%, 50%, and 100% RSF factors based on a remaining maturity of less than 6 months, between 6 months and 1 year, and 1 year or more respectively. For assets with encumbrance period of between 6 months and 1 year, the assumption applies 50%, and 100% RSF factors based on a remaining maturity of less than 1 year and 1 year or more respectively. A 100% RSF factor is applied to all assets maturing within a year and encumbrance 1 year or more. |
Paragraphs S.9.11.c |
5 |
BNM-RSF-Unenc loans to fin insti sec by level 1 asset |
Unencumbered loans to financial institutions where the loan is secured against level 1 assets as defined in the LCR. |
The RSF factors applicable to the unencumbered loans given to financial institutions secured by a level 1 asset, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies RSF factor of 10%,50%,100% on the unencumbered secured loans given to financial institutions secured by level 1 asset with a remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively, where the collateral received can be re-hypothecated for the life of the loan. The assumption applies RSF factor of 15%,50%,100% on the unencumbered secured loans given to financial institutions secured by level 1 asset with a remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively, where the collateral received cannot be re-hypothecated for the life of the loan. |
Paragraphs S.9.13 |
6 |
BNM-RSF-Encum loans to fin insti sec by level 1 asset |
Encumbered loans to financial institutions where the loan is secured against level 1 assets as defined in the LCR. |
The RSF factors applicable to the encumbered loans given to financial institutions secured by a level 1 asset, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies relevant RSF factors on the encumbered secured loans based on the encumbrance period and residual maturity. The Level 1 asset received as collateral can further be re-hypothecated to raise funds. |
Paragraphs S.9.13 |
7 |
BNM-RSF-Unenc loans to fin insti sec by assets of oth lvls |
Unencumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR. |
The RSF factors applicable to the unencumbered loans given to financial institutions secured by assets belonging to levels other than level 1, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies RSF factor of 15%,50%,100% on the unencumbered secured loans given to financial institutions secured by assets belonging to levels other than level 1 with a remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively. |
Paragraphs S.9.13 |
8 |
BNM-RSF-Encum loans to fin insti sec by assets of oth lvls |
Encumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR. |
The RSF factors applicable to the encumbered loans given to financial institutions secured by assets belonging to levels other than level 1, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans based on the residual maturity and encumbrance period of the loan. |
Paragraphs S.9.13 |
9 |
BNM-RSF-Unenc unsec loans to financial institutions |
Unencumbered unsecured loans excluding overdrafts to financial institutions. |
The RSF factors applicable to the unencumbered unsecured loans given to financial institutions, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies RSF factor of 15%, 50%, and 100% on the unencumbered unsecured loans given to financial institutions, with a remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively. |
Paragraphs S.9.13 |
10 |
BNM -RSF- Enc unsecured loans to financial institutions |
Encumbered unsecured loans to financial institutions. |
The RSF factors applicable to the encumbered unsecured loans given to financial institutions, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans given to financial institutions based on the residual maturity and encumbrance period of the loan. |
Paragraphs S.9.13 |
11 |
BNM-RSF-Unenc loans to others, mat less than 1yr |
Unencumbered loans with residual maturity less than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. |
The RSF factors applicable to fully performing unencumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns, with a remaining maturity of less than 1 year, are per defined as part of this assumption. This assumption applies 50% RSF factors on the loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with a remaining maturity of less than 1 year. |
Paragraphs S.9.16.b |
12 |
BNM-RSF-Enc loans to others, mat less than 1yr |
Encumbered loans with residual maturity less than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. |
The RSF factors applicable to fully performing encumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns, with a remaining maturity of less than 1 year, are per defined as part of this assumption. This assumption applies 50% RSF factors on the encumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with a remaining maturity of less than 1 year. |
Paragraphs S.9.16.b |
13 |
BNM-RSF-Unenc loans to others, mat more than 1 yr |
Unencumbered loans with residual maturity more than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. |
The RSF factors applicable to fully performing unencumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns, with a remaining maturity of more than 1 year with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. This assumption applies a 65 % RSF factors on the loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with a remaining maturity of more than 1 year and risk weight more than or equal to 35%. It applies an RSF factor of 85% on the loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with a remaining maturity of more than 1 year and risk weight greater than 35%. |
Paragraphs S.9.16.b |
14 |
BNM-RSF-Enc Loans to others, mat more than 1yr |
Encumbered loans with residual maturity more than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. |
The RSF factors applicable to fully performing encumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns, with a remaining maturity of more than 1 year with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. This assumption applies relevant RSF factors on the encumbered loans based on the residual maturity, encumbrance period and the risk weight associated with the loan. |
Paragraphs S.9.16.b |
15 |
BNM-RSF-Unenc non HQLA assets |
Unencumbered securities, with maturity less than 1 year, which do not qualify as High quality liquid assets under the LCR Rule |
The RSF factors applicable to unencumbered securities, with a remaining maturity of less than 1 year and which do not qualify, as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies a 50% RSF factor on unencumbered securities, which do not qualify as High quality liquid assets under the LCR Rule, with a remaining maturity of less than 1 year |
Paragraphs S.9.15.g, S.9.17.d |
16 |
BNM-RSF-Unenc non-HQLA securities mat greater than 1yr |
Unencumbered securities, with a maturity greater than 1 year which do not qualify as HQLA under the LCR Rule |
The RSF factors applicable to unencumbered securities, with a remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies an 85% RSF factor on unencumbered securities, with a remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. |
Paragraphs S.9.15.g, S.9.17.d |
17 |
BNM-RSF-Enc non HQLA assets |
The encumbered portion of securities, with maturity less than 1 year which do not qualify as High quality liquid assets under the LCR Rule |
The RSF factors applicable to the encumbered portion of the securities, with a remaining maturity of less than 1 year and which do not qualify as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies a 50% RSF factor on the encumbered portion of the securities, with a remaining maturity of less than 1 year, encumbrance period of less than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. It applies a 100% RSF factor on the encumbered portion of the securities, with a remaining maturity of less than 1 year, encumbrance period of 1 year or more and which do not qualify as High quality liquid assets under the LCR Rule. |
Paragraphs S.9.15.g, S.9.17.d |
18 |
BNM-RSF-Enc non HQLA assets mat greater than 1yr |
The encumbered portion of securities, with a maturity greater than 1 year which does not qualify as HQLA under the LCR Rule |
The RSF factors applicable to the encumbered portion of the securities, with a remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies an 85% RSF factor on the encumbered portion of the securities, with a remaining maturity of 1 year or more, encumbrance period of less than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. It applies a 100% RSF factor on an encumbered portion of the securities, with a remaining maturity of 1 year or more, encumbrance period of 1 year or more and which do not qualify as High quality liquid assets under the LCR Rule. |
Paragraphs S.9.15.g, S.9.17.d |
19 |
BNM-RSF-Unencumbered level 1 assets |
Unencumbered assets that qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. |
The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies a 5% RSF factor on the unencumbered Level 1 assets. |
Paragraphs S.9.12 |
20 |
BNM-RSF-Unencumbered level 2A assets |
Unencumbered assets that qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the LCR. |
The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 2A, and 2B of High-quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies a 15% RSF factor on the unencumbered Level 2A assets and an RSF factor of 50% on the unencumbered Level 2B assets. |
|
21 |
BNM-RSF-Encumbered level 1 assets |
The encumbered portion of assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. |
The RSF factors applicable to the encumbered portion of assets, which qualify for inclusion in Level 1 of High-quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered portion of Level 1 assets, with encumbrance period of less than 1-year and1 year or more respectively. |
Paragraphs S.9.12 |
22 |
BNM-RSF-Encumbered level 2A assets |
Encumbered level 2 assets |
The RSF factors applicable to the encumbered portion of assets, which qualify for inclusion in Level 2A, and 2B of High-quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies 15%, 50% and 100% RSF factors on the encumbered portion of Level 2A assets, with encumbrance period of less than 6 months, between 6 months to 1-year and1 year or more respectively. It applies 50% and 100% RSF factors on the encumbered portion of Level 2B assets, with encumbrance period of less than 1-year and1 year or more respectively. |
|
23 |
BNM-RSF-Unenc Operational bal with other banks |
Operational portion of Unencumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. |
The RSF factors applicable to the operational portion of unencumbered deposits held at other financial institutions to fulfill the operational requirements, with a remaining maturity of less than 1 year, are pre-defined as part of this assumption. The assumption applies RSF factor of 50% and 100% on the operational portion of unencumbered deposits held at other financial institutions, with a remaining maturity of less than 1-year and1 year or more respectively. |
S.9.14.c |
24 |
BNM-RSF-Unenc Non-Op balances with other banks |
Non-operational portion of Unencumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. |
The RSF factors applicable to the non-operational portion of unencumbered deposits held at other financial institutions to fulfill the operational requirements, with a remaining maturity of less than 1 year, are pre-defined as part of this assumption. The assumption applies RSF factor of 15%, 50% and 100% on the non-operational portion of unencumbered deposits held at other financial institutions, with a remaining maturity of less than 6 months, between 6 months to 1-year and1 year or more respectively. |
S.9.14.c |
25 |
BNM-RSF-Unencumbered Residential Mortgage Loans |
Unencumbered residential mortgage loans which would qualify for a) 35% or lesser risk weight and b) higher than 35% risk weight as per Capital Adequacy framework and Capital Adequacy Framework for Islamic banks |
The RSF factors applicable to unencumbered residential mortgage loans, with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. The assumption applies RSF factors of 50% and 65% on the unencumbered residential mortgage loans, with a remaining maturity of less than 1-year and1 year or more respectively, with risk weights less than or equal to 35%. It applies RSF factors of 50% and 85% on the unencumbered residential mortgage loans, with a remaining maturity of less than 1-year and1 year or more respectively, with risk weights greater than 35%. |
Paragraphs S.9.16.a |
26 |
BNM-RSF-Encumbered Residential Mortgage loans |
Encumbered residential mortgage loans which would qualify for a) 35% or lesser risk weight and b) higher than 35% risk weight as per Capital Adequacy framework and Capital Adequacy Framework for Islamic banks |
The RSF factors applicable to fully performing encumbered residential mortgage loans, with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. This assumption applies RSF factors of 50% and 65 % on the encumbered residential mortgage loans, with a remaining maturity of less than 1 year and greater than equal to 1 year respectively, encumbrance period is less than 1 year, and risk weight is less than or equal to 35%. It applies an RSF factor of 100% on the encumbered residential mortgage loans with a remaining maturity of more than 1 year, encumbrance period of more than 1 year and risk weight is more than 35%. |
Paragraphs S.9.16.a |
27 |
BNM-RSF-Trade date receivables |
Trade date receivables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle. |
The RSF factor applicable to trade date receivables arising from purchases of foreign currencies, financial instruments, and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle, are pre-defined as part of this assumption. The assumption applies a 0% RSF factor to the trade receivables, which expected to settle within the settlement cycle. |
Paragraphs S.9.17.f |
28 |
BNM-RSF-Undrawn amount from credit lines received |
The undrawn portion from credit lines received from the central bank of Malaysia which qualifies as Level 1 HQLA. |
The RSF Factor applicable to the undrawn portion of Credit lines, which qualifies for a Level 1 asset is defined in this assumption. The assumption applies a 5% factor. |
Paragraphs S.9.12. |
29 |
BNM-RSF-Unenc Level 1 Debt securities |
Unencumbered Level 1 qualified debt securities and Sukuk with customers other than Central bank |
The RSF Factor applicable to Unencumbered Level 1 qualifying Debt securities and Sukuk, with all counterparties except Central Bank are defined in this assumption. The assumption applies a 5% factor. |
Paragraphs S.9.12. |
30 |
BNM-RSF-Enc Level 1 Debt securities |
Encumbered Level 1 qualified debt securities and Sukuk with customers other than Central bank |
The RSF Factor applicable to Encumbered Level 1 qualifying Debt securities and Sukuk, with all counterparties except Central Bank are defined in this assumption. The assumption applies a factor based on the encumbrance period. |
Paragraphs S.9.12, S.9.17.c |
31 |
BNM-RSF-Enc deposits with other banks |
Encumbered deposits, held at other financial institutions |
The RSF Factor applicable to Encumbered deposits held at financial institutions are defined as a part of this assumption. The assumption applies a factor based on the encumbrance period. |
Paragraphs S.9.14.c, S.9.15.d, S.9.15.f |
32 |
BNM-RSF-Unencumbered commodities |
Unencumbered physically traded commodities, including gold. |
The RSF Factor applicable to unencumbered physically traded commodities is defined as a part of this assumption. The assumption applies an 85% factor. |
Paragraphs S.9.17 f |
33 |
BNM-RSF-Encumbered commodities |
Encumbered physically traded commodities including gold. |
The RSF Factor applicable to encumbered physically traded commodities is defined as a part of this assumption. The assumption applies a factor based on the encumbrance period |
Paragraphs S.9.17 f |
34 |
BNM-RSF-Unenc debt securities issued by non-fin corp |
Unencumbered debt securities issued by non-financial corporates which are assigned an ECAI rating between A- and A+ and are denominated in Ringgit. |
The RSF Factor for Unencumbered debt securities issued by non-financial corporates that are assigned an ECAI rating between A- and A+ and are denominated in Ringgit are defined as a part of this assumption. The assumption applies a 50% Factor. |
Paragraphs S.9.15 c |
35 |
BNM-RSF-Enc debt securities issued by non-fin corp |
Encumbered debt securities issued by non-financial corporates which are assigned an ECAI rating between A- and A+ and are denominated in Ringgit. |
The RSF Factor for Encumbered debt securities issued by non-financial corporates that are assigned an ECAI rating between A- and A+ and are denominated in Ringgit are defined as a part of this assumption. The factor applied is based on the encumbrance period. |
Paragraphs S.9.15 c |
36 |
BNM-RSF-Unencumbered common equity shares |
Unencumbered common equity shares that are issued by non-financial corporates. |
The RSF Factor for unencumbered common equity shares issued by non-financial corporates is defined as a part of this assumption. The factor applied is 50%. |
Paragraphs S.9.15 b |
37 |
BNM-RSF-Encumbered common equity shares |
Encumbered common equity shares that are issued by non-financial corporates. |
The RSF Factor for encumbered common equity shares issued by non-financial corporates is defined as a part of this assumption. The factor applied is based on the encumbrance period. |
Paragraphs S.9.15 b |
This section enlists all the pre-seeded assumptions for NSFR Derivatives.
Serial No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference : BNM/RH/ED 029-3 |
|---|---|---|---|---|
1 |
BNM-Additional Derivative Liability for RSF |
RSF Additional portion of derivative liabilities to be included as part of RSF. |
The RSF factor applicable to all derivative contracts including netted derivative contracts, where the aggregate mark to the market value of the contracts before any variation margin adjustment is negative, is pre-defined as part of this assumption. The assumption applies a 100% RSF factor to the 20% of negative mark-to-mark value for the aforementioned derivative contracts. |
Paragraph 9.18(d) |
2 |
BNM-Net NSFR Derivative Liabilities |
ASF derivative liabilities net of derivative assets, where derivative liability is net of any variation margin posted and the derivative asset is net of cash margin received. |
The ASF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to the market value of the contracts for an entity including any variation margin adjustment is negative, is pre-defined as part of this assumption. The assumption applies a 0% ASF factor to the derivative liabilities net of derivative assets, where the net aggregate mark to the market value of the contracts is negative. |
Paragraphs 8.13(c), 10.3 |
3 |
BNM-Net NSFR Derivative assets |
RSF derivative assets net of derivative liabilities, where derivative liability is net of any variation margin posted and the derivative asset is net of cash margin received. |
The RSF factor applicable to all derivative contracts including netted derivative contracts, where the net aggregate mark to the market value of the contracts for an entity including any cash margin adjustment is positive, is pre-defined as part of this assumption. The assumption applies a 100% RSF factor to the derivative assets net of derivative liabilities, where the net aggregate mark to the market value of the contracts is positive. |
Paragraphs 9.18(b), 10.7 |
4 |
BNM-Margin for derivatives
|
RSF Treatment of initial margin posted against derivative transactions. |
The RSF factor applicable to the initial margin posted for the derivative contracts is pre-defined as part of this assumption. The assumption applies an 85% RSF factor to the initial margin posted against the derivative contracts. |
9.17(b) |
This section enlists all the pre-seeded assumptions for NSFR Off-Balance Sheet items.
Sl. No. |
Assumption Name |
Assumption Description |
Regulatory Requirement Addressed |
Regulatory Reference : BNM/RH/ED 029-3 |
|---|---|---|---|---|
1 |
BNM-RSF- Credit and liquidity facilities to the client |
Off-balance sheet exposures- Irrevocable, revocable and conditionally revocable credit and liquidity facilities offered to any clients by the bank |
The RSF factor applicable to irrevocable, revocable and conditionally revocable credit and liquidity facilities offered to any clients by the bank, is pre-defined as part of this assumption. The assumption applies a 5% RSF factor to the undrawn amount of irrevocable and conditionally revocable credit and liquidity facilities and RSF factor of 2% in case of revocable credit and liquidity facilities. |
Paragraph 9.22 |
2 |
BNM-RSF- Guarantees and letters of credit |
Off-balance sheet exposures- Guarantees and letters of credit |
The RSF factor applicable to the Guarantees and Letters of credit offered by the bank is pre-defined as part of this assumption. The assumption applies a 0.5% RSF factor to the EOP balance of the trade-related Guarantees and Letters of credit and RSF factor of 1% for non-trade related Guarantees and Letters of credit. |
Paragraph 9.22 |
3 |
BNM-RSF- Non-contractual obligations type |
Non-contractual obligations type such as managed funds and so on |
The RSF factor applicable to the non-contractual obligations type such as managed funds is pre-defined as part of this assumption. The assumption applies a 5% RSF factor to the aforesaid non-contractual obligations amount. |
Paragraph 9.22 |
4 |
BNM-RSF- Non-contractual obligations |
Non-contractual obligations type such as Adjustable Rate Notes and Variable Rate Demand Notes (VRDNs). |
The RSF factor applicable to the non-contractual obligations for structured products such as Variable rate notes (VRDNs), Adjustable rate notes (ARDNs), and so on offered by the bank, is pre-defined as part of this assumption. The assumption applies a 100% RSF factor to the EOP balance for aforesaid non-contractual obligations. |
Paragraph 9.22 |
5 |
BNM-RSF- Debt Buy Back Requests
|
Non-contractual obligations type such as requests for debt repurchases. |
The RSF factor applicable to the non-contractual obligations for debt repurchase is pre-defined as part of this assumption. The assumption applies a 10% RSF factor to the debt buy-back amount if the bank acts as dealer or market maker and 5% in case the bank is not the market maker or dealer for the debt securities issued or sponsored. |
Paragraph 9.22 |
Undrawn contractual committed facilities are configured as a T2T.