15.3.2.1.2 Required Stable Funding Factor
This section enlists all the pre seeded assumptions acting on assets and off balance sheet items which receive an RSF factor.
Table 14-17 Pre seeded assumptions which receive an RSF factor
| Serial No. | Assumption Name | Assumption Description | Regulatory Requirement Addressed | Basel Committee Banking supervision, Basel III, The net stable funding ratio, October 2014 (BCBS 295) Reference |
|---|---|---|---|---|
| Cash and Central Bank Reserves | ||||
| 1 | RSF- Coins and banknotes | [BIS]: Coins, banknotes, cash and restricted cash held by the bank. | This assumption specifies Banknotes and Coin. | Paragraph 36 (a) |
| 2 | RSF- Central bank reserves | [BIS]: All central bank reserves, including, required reserves and excess reserves. | This assumption specifies Central bank Reserves. | Paragraph 36 (b) |
| Loans to central banks | ||||
| 3 | RSF- Unencumbered claims on central banks | [BIS]: Unencumbered loans and other claims on central banks |
This assumption specifies claims on central banks with residual maturities less than 6 months. This assumption specifies Loans to central banks and financial institutions with a residual maturity between 6 months to 1 year. |
Paragraphs 31, 36(c), 40(c), 43(a) 43© |
| 4 | RSF- Encumbered claims on central banks | [BIS]: Encumbered loans and other claims on central banks |
This assumption specifies Claims on central banks with residual maturities less than 6 months. This assumption specifies Loans to central banks and financial institutions with a residual maturity between 6 months to 1 year. |
Paragraphs 31, 36(c), 40(c), 43(a) 43(c) |
| Deposits Placed Within a Co-operative Network | ||||
| 5 | RSF- Deposits placed within same co operative network | [BIS]: Deposits between banks within the same cooperative network, placed as required by law or in the context of common task sharing and legal, statutory, or contractual arrangements. | This assumption specifies the deposits between banks within the same cooperative network can be excluded from liabilities receiving a 0% ASF , provided [mentioned] conditions, so long as the bank that has received the monies and the bank that has deposited, participate in the same institutional network's mutual protection scheme against illiquidity and insolvency of its members. Such deposits can be assigned an ASF up to the RSF factor assigned by regulation for the same deposits to the depositing bank, not to exceed 85%. | Paragraphs FN (10), 43 (C) |
| 6 | RSF- Unencumbered other deposits from co operative banks | [BIS]: Unencumbered other deposits from cooperative banks. | This assumption specifies the deposits between banks within the same cooperative network can be excluded from liabilities receiving a 0% ASF , provided [mentioned] conditions, so long as the bank that has received the monies and the bank that has deposited, participate in the same institutional network's mutual protection scheme against illiquidity and insolvency of its members. Such deposits can be assigned an ASF up to the RSF factor assigned by regulation for the same deposits to the depositing bank, not to exceed 85%. | Paragraphs FN (10), 43 (C) |
| 7 | RSF- Encumbered other deposits from co operative banks | [BIS]: Encumbered other deposits from Cooperative banks | This assumption specifies the deposits between banks within the same cooperative network can be excluded from liabilities receiving a 0% ASF , provided [mentioned] conditions, so long as the bank that has received the monies and the bank that has deposited, participate in the same institutional network's mutual protection scheme against illiquidity and insolvency of its members. Such deposits can be assigned an ASF up to the RSF factor assigned by regulation for the same deposits to the depositing bank, not to exceed 85%. | Paragraphs FN (10), 43 (C) |
| Loans to Financial Institutions | ||||
| 8 | RSF- Unenc loans to fin insti secured by level 1 asset | [BIS]: Unencumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. | This assumption specifies unencumbered loans to financial institutions with residual maturities of less than 6 months, where the loan is secured against level 1 asset and where the bank has the ability to freely rehypothecate the received collateral for the life of the loan. | Paragraphs 31, 38, 40(c), 43(a), 43(c) |
| 9. | RSF-Encum loans to fin insti secured by level 1 asset | [BIS]: Encumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. | This assumption specifies unencumbered loans to financial institutions with residual maturities of less than 6 months, where the loan is secured against level 1 asset and where the bank has the ability to freely re hypothecate the received collateral for the life of the loan. | Paragraphs 31, 38, 40(c), 43(a), 43(c) |
| 10. | RSF - Unenc loans to fin insti secured by other level assets | [BIS]: Unencumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR. | This assumption specifies all other secured loans to financial institutions. | Paragraphs 31, 39(b), 40(c), 43(a), 43(c) |
| 11. | RSF- Enc loans to fin insti secured by other level assets | [BIS]: Encumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR. | This assumption specifies all other secured loans to financial institutions. | Paragraphs 31, 39(b), 40(c), 43(a), 43(c) |
| 12. | RSF- Unenc unsec loans to financial institutions | [BIS]: Unencumbered unsecured loans to financial institutions. | This assumption specifies all unsecured loans to financial institutions. | Paragraphs 31, 39(b), 40(c), 43(a), 43(c) |
| 13. | RSF- Enc unsec loans to financial institutions | [BIS]: Encumbered unsecured loans to financial institutions. | This assumption specifies all unsecured loans to financial institutions. | Paragraphs 31, 39(b), 40(c), 43(a), 43(c) |
| Loans to other parties | ||||
| 14. | RSF- Unenc loans to others, mat less than 1yr | [BIS]: Unencumbered loans with residual maturity less than a year to other counterparties i.e. Non-financial corporate, retail and small business customers, sovereigns, Public sector enterprises and sovereigns. | This assumption specifies loans to non-financial corporate, retail and small business customers, sovereigns and PSE with a residual maturity of less than 1 year. | Paragraphs 31, 40(e), 41, 43(a) |
| 15. | RSF- Enc loans to others, mat less than 1yr | [BIS]: Encumbered loans with residual maturity less than a year to other counterparties i.e. Non financial corporate, retail and small business customers, sovereigns, Public sector enterprises and sovereigns. | This assumption specifies loans to non-financial corporate, retail and small business customers, sovereigns and PSE with a residual maturity of less than 1 year. | Paragraphs 31, 40(e), 41, 43(a) |
| 16 | RSF- Unenc loans to others, mat more than 1 yr | [BIS]: Unencumbered loans with residual maturity more than a year to other counterparty’s i.e. Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns. |
This assumption specifies other unencumbered loans not included in the above categories, with a residual maturity of 1 year or more that would qualify for a 35% or lower weight under Basel 2 approach. Other unencumbered performing loans that do not qualify for the 35% or lower risk weight under Basel 2 and have residual maturities of 1 year or more excluding loans to banks and financial institutions. |
Paragraphs 41 (b), 42 (b), 43(a) |
| 17 | RSF - Enc Loans to others, mat more than 1yr | [BIS]: Encumbered loans with residual maturity more than a year to other counterparty’s i.e. Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns. |
This assumption specifies other unencumbered loans not included in the above categories, with a residual maturity of 1 year or more that would qualify for a 35% or lower weight under Basel 2 approach. Other unencumbered performing loans that do not qualify for the 35% or lower risk weight under Basel 2 and have residual maturities of 1 year or more excluding loans to banks and financial institutions. |
Paragraphs 41 (b), 42 (b), 43(a) |
| Non HQLA Assets | ||||
| 18. | RSF- Unenc non HQLA assets | [BIS]:Unencumbered securities, with maturity less than 1 year, which do not qualify as High quality liquid assets under the LCR Rule |
This assumption specifies all other non HQLA not included in the above categories that have a residual maturity of less than 1 year. Unencumbered securities with a remaining maturity of one year or more and exchange traded equities that are not in default and do not qualify for HQLA. |
Paragraphs 31, 42(c), 43(a) |
| 19 | RSF- Unenc non HQLA securities mat greater than 1yr | [BIS]:Unencumbered securities, with maturity greater than 1 year which do not qualify as HQLA under the LCR Rule |
This assumption specifies all other non HQLA not included in the above categories that have a residual maturity of less than 1 year. Unencumbered securities with a remaining maturity of one year or more and exchange traded equities that are not in default and do not qualify for HQLA. |
Paragraphs 31, 42(c), 43(a) |
| 20 | RSF- Enc non HQLA assets | [BIS]:Encumbered portion of securities, with maturity less than 1 year which do not qualify as High quality liquid assets under the LCR Rule |
This assumption specifies all other non HQLA not included in the above categories that have a residual maturity of less than 1 year. Unencumbered securities with a remaining maturity of one year or more and exchange traded equities that are not in default and do not qualify for HQLA. |
Paragraphs 31, 42(c), 43(a) |
| 21 | RSF- Enc non HQLA assets mat greater than 1yr | [BIS]:Encumbered portion of securities, with maturity greater than 1 year which do not qualify as HQLA under the LCR Rule |
This assumption specifies all other non HQLA not included in the above categories that have a residual maturity of less than 1 year. Unencumbered securities with a remaining maturity of one year or more and exchange traded equities that are not in default and do not qualify for HQLA. |
Paragraphs 31, 42(c), 43(a) |
| HQLA Eligible Assets | ||||
| 22 | RSF- Unencumbered level 1 assets | [BIS]: Unencumbered assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. | This assumption specifies unencumbered level 1 assets excluding assets receiving a 0% RSF as in para 36. | Paragraphs 37, 40(b), |
| 23 | RSF- Unencumbered Level 2 assets | [BIS]: Unencumbered assets which qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the LCR. | This assumption specifies unencumbered Level 2A assets and unencumbered level 2B assets. | Paragraphs 39(a), 40(b), 40(a) |
| 24 | RSF- Encumbered level 1 assets | [BIS]: Encumbered portion of assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. | This assumption specifies encumbered Level 1 assets excluding assets receiving a 0% RSF. | Paragraphs 31, 37, 40(b), 43(a) |
| 25 | RSF- Encumbered level 2 assets | [BIS]: Encumbered portion of assets which qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the LCR. | This assumption specifies encumbered level 2A and 2B NRMBS assets. | Paragraphs 31, 39(a), 40(b), 40(a), 43(a) |
| Deposits Held at Financial Institutions for Operational Purposes | ||||
| 26 | RSF-Unencumbered Operational balances with other banks | [BIS]: Operational portion of Unencumbered deposits held at other financial institutions, for operational purpose and are subject to the 50% ASF treatment. | This assumption specifies unencumbered Deposits held at other financial institutions for operational purposes that are subject to the 50% ASF treatment. | Paragraph 40 (d) |
| 27 | RSF- Unencumbered non operational balances with other banks | [BIS]: Non-operational portion of Unencumbered deposits held at other financial institutions, for operational purpose and are subject to the 50% ASF treatment. | This assumption specifies non-operational deposits held at financial institutions. | Paragraph 40 (d) |
| 28 | RSF- Encumbered op and non op balances with other banks |
[BIS]: Encumbered deposits held at other financial institutions, for operational purpose and are subject to the 50% ASF treatment.
|
This assumption specifies encumbered Operational deposits at financial institutions. | Paragraphs 31, 40(d), 43(a) |
| Residential Mortgages | ||||
| 29 | RSF- Unencumbered residential mortgage loans | [BIS]: Unencumbered residential mortgage loans which would qualify for a) 35% or lesser risk weight as per Basel 2 standardized approach for credit risk b) higher than 35% risk weight as per Basel 2 standardized approach for credit risk |
This assumption specifies unencumbered residential mortgages with a residual maturity of 1 year or more that would qualify for a 35% or lesser risk weight as per Basel 2. All other non HQLA not included in above categories that have a residual maturity of less than 1 year, including loans to nonfinancial corporate clients, loans to retail customers, and small business customers and loans to sovereigns and PSEs |
Paragraphs 41 a and 40 e |
| 30 | RSF- Encumbered residential mortgage loans | [BIS]: Encumbered residential mortgage loans which would qualify for a) 35% or lesser risk weight as per Basel 2 standardized approach for credit risk b) higher than 35% risk weight as per Basel 2 standardized approach for credit risk |
This assumption specifies unencumbered residential mortgages with a residual maturity of 1 year or more that would qualify for a 35% or lesser risk weight as per Basel 2. All other non HQLA not included in above categories that have a residual maturity of less than 1 year, including loans to nonfinancial corporate clients, loans to retail customers, and small business customers and loans to sovereigns and PSEs |
Paragraphs 41 a and 40 e |
| Commodities | ||||
| 31 | RSF- Unencumbered commodities | [BIS]: Unencumbered physically traded commodities, including gold. | This assumption specifies physically traded commodities including gold. | Paragraphs 31, 42(d), 43(a) |
| 32 | RSF- encumbered commodities | [BIS]: Encumbered physically traded commodities including gold. | This assumption specifies physically traded commodities including gold. | Paragraphs 31, 42(d), 43(a) |
| Trade date Receivables | ||||
| 33 | RSF- Trade date receivables | [BIS]: 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. | This assumption specifies trade date receivables | Paragraph 36 (d) |
| Off Balance Sheet | ||||
| 34 | RSF OBS- Credit and liquidity facilities to client | [BIS]: Off balance sheet exposures- Irrevocable, revocable and conditionally revocable credit and liquidity facilities offered to any clients by the bank | This assumption specifies irrevocable and conditionally revocable facilities to clients | Paragraph 47 |