6.3.2 Regulation Addressed through Business Assumptions
The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified scenario parameters such as HQLA haircuts, inflow and outflow percentage / rates and so on. The list of pre-configured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following table:
Table 5-13 Pre-configured business assumptions and the corresponding reference
| Sl. No. | Business Assumption Name | Business Assumption Description | Regulatory Requirement Addressed | Regulatory ReferenceBNM/RH/PD 029-13 |
|---|---|---|---|---|
| Outflows | ||||
| 1 | BNM-Non-operational stable retail deposits | Run-offs on the stable portion of non-operational deposits from retail customers and unsecured wholesale funding from SMEs treated as retail. | The outflow rate on the stable portion of non-operational deposits, from retail customers and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits, that are either not encumbered or encumbrance period is less than LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 14.1 to 14.3, 14.8, 15.17 to 15.18 |
| 2 | BNM-Non-operational less stable retail deposits | Run-offs on the less stable portion of non-operational deposits from retail customers and unsecured wholesale funding from SMEs treated as retail. | The outflow rate on the less stable portion of non-operational deposits, from retail customers and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits, that are either not encumbered or encumbrance period is less than LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 14.1 to 14.2, 14.7, 14.8, 15.17 to 15.18 |
| 3 | BNM-Non-op less stable retail deposit within 30 day | Run-offs on the less stable portion of non-operational deposits, maturing within 30 days from retail customers and unsecured wholesale funding from SMEs treated as retail. | The outflow rate on the less stable portion of non-operational deposits, from retail customers and SMEs treated as retail customers, for the purpose of LCR, is pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits, that are either not encumbered or encumbrance period is less than LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 14.1 to 14.2, 14.7, 14.8, 15.17 to 15.18 |
| 4 | BNM-Insured Operational deposits | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is fully covered by deposit insurance. | The outflow rate on the insured portion of the balance held in operational accounts, with other financial institutions, for clearing, custody and cash management are pre-defined as part of this assumption. This assumption applies a 5% run-off on insured operational balances that are covered by deposit insurance. | Paragraph 15.6 |
| 5 | BNM-Uninsured Operational deposits | Run-off on the portion of operational balance, from deposits generated by clearing, custody and cash management activities, that is not covered by deposit insurance. | The outflow rate on the uninsured portion of the balance held in operational accounts, with other financial institutions, for clearing, custody and cash management are pre-defined as part of this assumption. This assumption applies a 25% run-off on uninsured operational balances that are not covered by deposit insurance. | Paragraph 15.6 |
| 6 | BNM-Outflows on non-operational part of operational account | Outflows on the non-operational portion of an operational deposit, provided by corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB. | The outflow rate on the non-operational portion of the balance held in operational accounts, with other financial institutions, for clearing, custody and cash management are pre-defined as part of this assumption. This assumption applies a 20% run-off on non-operational balances that are fully covered under deposit insurance and 40% run-off on accounts that are not fully covered under deposit insurance. | Paragraphs 15.12 to 15.13, 15.19, 15.20 |
| 7 | BNM-Unsecured fully insured non-operational funding | Run-off on the portion of non-operational balance, from deposits generated by clearing, custody and cash management activities, that is fully covered by deposit insurance. | The outflow rate on the unsecured fully insured non-operational funding, received from non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 20% run-off on these balances. | Paragraphs 15.3, 15.20 |
| 8 | BNM-Unsecured non-operational funding | Outflows on funding provided by corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB, that is not fully insured | The outflow rate on the unsecured non-operational funding that is not fully covered under deposit insurance, received from non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off on these balances. | Paragraphs 15.3, 15.19 |
| 9 | BNM-UWF from Non qualifying Borrowings and Annuity Contracts | Outflows on non-qualified term funding from annuity contracts and borrowings from central bank, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the non-qualified borrowings and annuity contracts, received from non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off on these balances. | Paragraphs 15.3, 15.19, 15.21 |
| 10 | BNM-UWF from qualified Borrowings and Annuity Contract | Outflows on qualified term funding from annuity contracts and borrowings from central bank, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the qualified borrowings and annuity contracts, received from non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off rate on these balances in the form of 60% rollover rate. | Paragraphs 15.3, 15.19, 15.21 |
| 11 | BNM-Unsecured part of secured non-op funding from Sov | Outflows on the unsecured portion of secured funding, provided by sovereigns, local governments or state enterprises, which are not classified as an operational deposit. | The run-off rates on the unsecured portion of secured funding, that is not classified as an operational deposit, received from sovereigns, local governments or state enterprises, are pre-defined as part of this assumption. This assumption applies a 20% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance. | Paragraphs 15.9, 15.3, 15.20 |
| 12 | BNM-Unsec part of Sec Non qualifying Borrowings and Annuity | Outflows on the unsecured non-qualifying portion of qualified secured borrowings and annuity contracts, provided by central bank, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the unsecured portion of secured non-qualified borrowings and annuity contracts, received from non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 40% run-off rate on these balances. | Paragraphs 15.3, 15.19, 15.21 |
| 13 | BNM-Outflows on non-op part of operational dep from other LE | Run-off on the portion of non-operational balance, from deposits generated by clearing, custody and cash management activities from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB. | The outflow rate on the non-operational portion of the balance held in operational accounts, received from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraphs 15.12 to 15.13, 15.22 |
| 14 | BNM-Non-op part of unsecured Operational deposits | Outflows on the non-operational balance of unsecured deposits generated by clearing, custody and cash management activities. | The outflow rate on the non-operational portion of the unsecured balance held in operational accounts, with other financial institutions, for clearing, custody and cash management are pre-defined as part of this assumption are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraphs 15.12 to 15.13, 15.22 |
| 15 | BNM-Outflows on Unsec CASA deposits from other LE | Outflows on the CASA deposits, provided by entities other than clearing, custody and cash management activities from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB, that are not classified as operational deposits. | The outflow rate on the funding from CASA deposits, provided by entities other than clearing, custody and cash management activities, received from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraph 15.19 |
| 16 | BNM-Outflows on Unsec CASA deposits | Outflows on the unsecured CASA deposits. | The outflow rate on the funding from unsecured CASA deposits, provided by entities other than clearing, custody and cash management activities are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraph 15.19 |
| 17 | BNM-Unsec non-op dep from other LE with non-qualifying Amt | Outflows on the non-qualifying portion of unsecured qualifying term deposits from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB, which are not classified as operational deposits. | The outflow rate on the funding from non-qualifying portion of unsecured qualifying term deposit, relieved from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraphs 15.3, 15.22 |
| 18 | BNM-Unsec non-op dep with non-qualifying Amt | Outflows on the non-qualifying portion of unsecured qualifying term deposits, which are not classified as operational deposits. | The outflow rate on the funding from non-qualifying portion of unsecured qualifying term deposit, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraphs 15.3, 15.22 |
| 19 | BNM-Unsec dep from other LE with qualifying Amt | Outflows on the qualifying portion of unsecured qualifying term deposits from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the funding from qualifying portion of unsecured qualifying term deposit, received from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 0% run-off on these balances | Paragraphs 15.3, 15.22 |
| 20 | BNM-Unsec funding from Term and Certificate of deposit | Outflows on the qualifying portion of unsecured qualifying term deposits and certificate of deposit. | The outflow rate on the funding from qualifying portion of unsecured qualifying term deposits and certificate of deposit, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 0% run-off on these balances | Paragraphs 15.3, 15.22 |
| 21 | BNM-Other LE Unsec Funding from Non qualifying Borrowings | Outflows on the non-qualifying borrowings, provided by entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the funding from non-qualifying borrowings, received from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraphs 15.3, 15.22 |
| 22 | BNM-Outflows from Unsec Borrowings and Annuity Contracts | Outflows on the unsecured non-qualifying borrowings and annuity contracts. | The outflow rate on the funding from borrowings and annuity contracts, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances | Paragraphs 15.3, 15.22 |
| 23 | BNM-Outflows from Unsec cash flows from other LE | Outflows on the unsecured cash flows of qualifying borrowings and annuity contracts, provided by entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the funding from unsecured cash flows of qualifying borrowings and annuity contracts, received from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances in form of 0% rollover rate. | Paragraphs 15.3, 15.22 |
| 24 | BNM-Outflows from Unsec qualified borrowings | Outflows on the unsecured cash flows of qualified borrowings and annuity contracts. | The outflow rate on the funding from unsecured cash flows of qualifying borrowings and annuity contracts, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances. | Paragraphs 15.3, 15.22 |
| 25 | BNM-Unsec part of sec non-qualified funding from other LE | Outflows on the unsecured portion of secured non-qualifying term funding from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the funding from unsecured portion of secured non-qualifying borrowings and annuity contracts, received from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances. | Paragraphs 15.3, 15.22 |
| 26 | BNM-Unsec part of sec non-qualified funding | Outflows on the unsecured portion of secured non-qualifying term funding. | The outflow rate on the funding from unsecured portion of secured non-qualifying borrowings and annuity contracts, received from wholesale counterparties are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances. | Paragraphs 15.3, 15.22 |
| 27 | BNM-Unsec part of sec qualified funding from other LE | Outflows on the unsecured portion of secured qualifying term funding from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the funding from unsecured portion of secured qualifying borrowings and annuity contracts, received from entities other than central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances in form of 0% rollover rate. | Paragraphs 15.3, 15.22 |
| 28 | BNM-Outflows on Non-op unsecured funding | Outflows on unsecured funding that are not classified as operational deposits. | The outflow rate on the unsecured funding from debt securities and sukkuks, which are not classified as operational deposits are pre-defined as part of this assumption. This assumption applies a 0% run off on the qualified funding from debt securities and sukkuks. It also applies run off of 10% and 100% for non-qualified securities issued exclusively to retail counterparties and those issued to counterparties other than retail respectively. | Paragraphs 15.3, 15.24 to 15.25 |
| 29 | BNM-Unsec part of Sec cash flows from qualifying funding | Outflows on the unsecured cash flows of qualified secured borrowings and annuity contracts, provided by central bank, sovereign, local government, PSE, state enterprise and MDB. | The outflow rate on the funding from unsecured portion of cash flows of qualified secured borrowings and annuity contracts, received from central bank, corporates, SMEs, sovereign, local government, PSE, state enterprise and MDB are pre-defined as part of this assumption. This assumption applies a 40% run-off on these balances in form of 60% rollover rate. | Paragraphs 15.3, 15.19, 15.21 |
| 30 | BNM-Non-Qualifying Unsecured part of secured non-op funding | Outflows on the unsecured non-qualifying portion of qualified secured term funding, provided by sovereigns, that is not classified as an operational deposit. | The run-off rates on the funding from unsecured non-qualifying portion of qualified secured term funding, that is not classified as an operational deposit, received from sovereigns, local governments or state enterprises, are pre-defined as part of this assumption. This assumption applies a 20% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance. | Paragraphs 15.3, 15.20 |
| 31 | BNM-Unsecured Non Op Funding with qualifying Amt | Outflows on the qualified portion of qualifying term deposit, provided by corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB, that is not classified as an operational deposit. | The run-off rates on the funding from unsecured qualified portion of qualifying term deposit, that is not classified as an operational deposit, received from sovereigns, local governments or state enterprises, are pre-defined as part of this assumption. This assumption applies a 0% run-off on unsecured balance from non-operational secured deposits that are fully covered by deposit insurance. | Paragraphs 15.3, 15.19 |
| 32 | BNM-Non Op Unsec Wholesale Funding with Non qualifying Amt | Outflows on the non-qualifying portion of qualifying term deposit, provided by corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB, that is not classified as an operational deposit. | The outflow rate on the non-qualifying portion of qualifying term deposit, that are not classified as operational deposits, received from corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB, pre-defined as part of this assumption. This assumption applies a 20% run-off on non-operational balances that are fully covered under deposit insurance and 40% run-off on accounts that are not fully covered under deposit insurance. | Paragraphs 15.3, 15.19, 15.20 |
| 33 | BNM-Secured Funding -Security Lending and Collateral Swaps | Outflows on collateral swap transactions and security lending from entities such as central banks, sovereigns, local governments, PSEs, state enterprises and MDBs. | The run-off rates on the secured funding, including collateral swaps, from all counterparties, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type. | Paragraphs 16.1 to 16.3 |
| 34 | BNM-Secured funding outflows based on secured balance | Outflows on repurchase agreement and security lending from entities such as central banks, sovereigns, local governments, PSEs, state enterprises and MDBs. | The outflow rates on the repurchase agreement and security lending, received from central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on secured balance. | Paragraphs 16.1 to 16.3 |
| 35 | BNM-Additional Collateral Required Due to Ratings Downgrade | Increased liquidity needs arising from the requirement to post additional collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional collateral required to be posted on contracts with downgrade triggers, due to a 3-notch ratings downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the downgrade impact amount arising from a 3-notch ratings downgrade. | Paragraph 17.7 |
| 36 | BNM-Loss of Re-hypothecation Rights Due to Ratings Downgrade | Increased liquidity needs arising from a loss of re-hypothecation rights on assets received as collateral due to a 3-notch ratings downgrade. | The outflow rate, on the additional cash outflows arising on contracts with downgrade triggers, which result in a loss of re-hypothecation rights due to a 3-notch ratings downgrade, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of mitigants received under re-hypothecation rights corresponding to accounts whose downgrade trigger is activated due to the 3-notch ratings downgrade. | Paragraph 17.7 |
| 37 | BNM-Increased Liquidity Needs Due to Change in Coll Val | Increased liquidity needs arising from the potential change in the value of posted collateral. | The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 asset posted as collateral is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of non-level 1 posted collateral computed after netting the non-level 1 collateral received under re-hypothecation rights on the same transaction. | Paragraph 17.5 |
| 389 | BNM-Increased Liquidity Needs Due To Excess Collateral | Increased liquidity needs arising from excess non-segregated collateral received that can be recalled by the counterparty. | The outflow rate on the excess unsegregated collateral held by a bank, which can potentially be withdrawn by the counterparty, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of excess collateral. | Paragraph 17.9 |
| 39 | BNM-Increased Liquidity Needs from Contractually Due Coll | Increased liquidity needs arising from collateral that is contractually required to be posted to the counterparty but has not yet been posted. | The outflow rate on the collateral that the bank is contractually required to post to its counterparty, but has not yet posted, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the value of contractually due collateral. | Paragraph 17.6 |
| 40 | BNM-Increased Liquidity Needs Due to Market Valuation Change | Increased liquidity needs arising from market valuation changes on derivatives and other transactions. | The outflow rate on the collateral outflows occurring due market valuation changes on derivative and other transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow rate on the largest absolute net 30-day collateral flow occurring during the preceding 24 months under the historical look-back approach. | Paragraph 17.5 |
| 41 | BNM-Loss of Funding from Financing Facility Maturing Debt | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to inability to refinance maturing debt. | The run-off rate on the maturing amounts of asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the EOP balance of the structured financing facilities that mature within the LCR horizon. It also applied 100% run-off on the EOP balance of the structured financing facilities that mature beyond the LCR horizon but have redemption notice period of 30 days or less. | Paragraph 18 |
| 42 | BNM-Loss of Funding from Financing Facility, Return of Asset | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to potential return of assets. | The run-off rate on the returnable assets underlying asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities is pre-defined as part of this assumption. This assumption applies a 100% run-off on the value of the assets that are returnable within the LCR horizon. It also applies a 100% run-off on the value of the assets that are returnable beyond the LCR horizon but have redemption notice period of 30 days or less | Paragraph 18 |
| 43 | BNM-Loss of Funding from Financing Facility Liquidity Draws | Loss of funding on asset-backed commercial paper, conduits, securities investment vehicles and other such financing facilities due to drawdown of liquidity facilities provided by the bank. | The outflow rate on the undrawn amount available to be drawn down on the liquidity facility extended to the structured financing facility is pre-defined as part of this assumption. This assumption applies a 100% outflow as a drawdown rate on the liquidity facilities extended as support for structured financing purposes. | Paragraph 18 |
| 44 | BNM-Draws on Committed Facilities Extended to Banks | Drawdowns on committed credit and liquidity facilities extended to banks. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to banks is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate. | Paragraphs 19.1 to 19.6 |
| 45 | BNM-Drawdowns on Committed Credit and Liquidity Facilities | Drawdowns on the cash flows occurring on the loan that has been approved but not yet disbursed, within the LCR horizon. | The outflow rate on the cash flows occurring on the loan that has been approved but not yet disbursed, within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow rate as a drawdown rate. | Paragraphs 19.1 to 19.6 |
| 46 | BNM-Draws on Committed Facilities Extended to Other Entity | Drawdowns on committed credit and liquidity facilities to other legal entities | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to other legal entities is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate. | Paragraphs 19.1 to 19.6 |
| 47 | BNM-Uncommitted Facility Outflows | Drawdowns on uncommitted credit and liquidity facilities extended to customers. | The outflow rate on the undrawn amount available to be drawn down on the uncommitted credit and liquidity facilities extended to customers is pre-defined as part of this assumption. This assumption applies a 0% drawdown on the uncommitted facilities. The drawdown rates are allowed to be updated to reflect the rates specified by national regulators. | Paragraphs 21.1 |
| 48 | BNM-Other Contingent Funding Obligation Outflows | Outflows related to trade and non-trade finance related instruments. | The outflow rate on the trade and non-trade finance related instruments is pre-defined as part of this assumption. This assumption applies a 0.5% run-off on such trade finance obligations. | Paragraphs 21.1 |
| 49 | BNM-Other Contractual Obligations to Non-Financial Customers | Outflows related to other contractual obligations to extend funds within 30 days to retail and non-financial wholesale counterparties. | The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, in excess of 50% of contractual inflows from such customers within the LCR horizon, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount. | Paragraph 20.1 (ii) |
| 50 | BNM-Other Contractual Obligations to Financial Institutions | Outflows related to other contractual obligations to extend funds within 30 days to financial institutions. | The outflow rate on the other contractual obligations to extend funds to retail and non-financial corporate customers, in excess of 50% of contractual inflows from such customers within the LCR horizon, is pre-defined as part of this assumption. This assumption applies a 100% outflow on the excess contractual obligation amount. | Paragraph 20.1 (i) |
| 51 | BNM-Contractual Interest Payment Outflows | Outflows related to contractual payments of interest. | The outflow rate on the interest payments contractually due within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow on interest in the form of a 0% rollover rate. | Paragraph 20.2 |
| 52 | BNM-Non-contractual Obligation Outflows | Outflows from non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds and any other similar obligations | The outflow rate on the non-contractual obligations related to joint ventures, minority investments, debt buy-back requests, structured products, managed funds and any other similar obligations is pre-defined as part of this assumption. This assumption applies a 0% outflow rate on the non-contractual obligations. The outflow rate is allowed to be updated to reflect the rates specified by national regulators. | Paragraph 21.1 |
| 53 | BNM-Outflows Related to Short Positions | Outflows related to customer and bank short positions. | The outflow rate on the customer and firm short positions is pre-defined as part of this assumption. This assumption specifies outflows on the short positions based on assets covering such short positions. | Paragraph 21.1 |
| 54 | BNM-Derivative cash outflows | Net cash outflows from derivative transactions. | The inflow rate on the 30-day cash inflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives. | Paragraph 17.1 |
| 55 | BNM-Non-qualifying retail stable deposits | Run offs on the Non-qualifying stable portion of qualifying term deposits from customers treated as retail. | The run-off rates on the Non-qualifying stable portion of qualifying term deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 5% run-off on the stable portion of retail deposits. | Paragraphs 14.1 to 14.3, 14.8, 15.17 to 15.18 |
| 56 | BNM-Non-qualifying retail less stable deposits | Run offs on the Non-qualifying less stable portion of qualifying term deposits from customers treated as retail. | The run-off rates on the Non-qualifying less stable portion of qualifying term deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 10% run-off on the less stable portion of retail deposits. | Paragraphs 14.1 to 14.2, 14.7, 14.8, 15.17 to 15.18 |
| 57 | BNM-Qualifying retail deposits | Run offs on the qualifying portion of qualifying term deposits from customers treated as retail. | The run-off rates on the qualifying portion of qualifying term deposits from retail customers and SMEs who are treated like retail customers for the purposes of LCR are pre-defined as part of this assumption. This assumption applies a 0% run-off on these balances. | Paragraph 14.8, 15.17 to 15.18 |
| 58 | BNM-Secured funding outflows from other entities | Outflows on security lending from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB | The outflow rates on secured funding, excluding collateral swaps from entities other than central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on market value of received collateral. | Paragraphs 16.1 to 16.3 |
| 59 | BNM-Secured balance outflows from other entities | Outflows on repurchase agreements and security lending from entities other than corporates, SMEs, sovereign, central bank, local government, state enterprise or MDB. | The outflow rates on the repurchase agreement and security lending from entities other than central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type on secured balance. | Paragraphs 16.1 to 16.3 |
| 60 | BNM-Drawdowns on Committed Funding Facilities | Drawdowns on committed facilities received by the bank. | The inflow rate on the undrawn amount available to be drawn down, on the committed credit and liquidity facilities received by the bank, is pre-defined as part of this assumption. This assumption applies a 0% inflow rate on the credit and liquidity lines received by the bank. | Paragraph 21.1 |
| 61 | BNM-Loss of Funding on Structured Financing Instruments | Loss of funding on asset-backed securities, covered bonds and other structured financing instruments. | The run-off rate on the maturing asset-backed securities, covered bonds and other structured financing instruments is pre-defined as part of this assumption. This assumption applies a 100% run-off on structured financing instruments that mature within the LCR horizon. | Paragraph 18.1 |
| 62 | BNM-Increased Liquidity Needs Due to Substitutable Collateral | Increased liquidity needs arising from contracts that allow a counterparty to substitute lower quality collateral for the current higher quality collateral. | The outflow rate on the collateral that the counterparty can contractually substitute with lower quality collateral is pre-defined as part of this assumption. This assumption applies an outflow rate equal to the difference between the liquidity haircuts of collateral that can be potentially substituted by the counterparty and the collateral that substitutes it. | Paragraph 17.10 |
| 63 | BNM-Other Contingent Funding Obligations with DS issued | Outflows related to debt securities issued by bank having maturity greater than 30 days. | The run-off rate on the debt securities issued where the bank is the dealer or market maker, with remaining maturity greater than 30 days are pre-defined as part of this assumption. This assumption applies a 10% run-off on the market value of the debt security. | Paragraph 21.1 |
| 64 | BNM - Contractual Dividend Payment Outflows | Outflows related to contractual payments of dividends. | The outflow rate on the dividends payable within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% outflow on dividends payable. | Paragraph 20.2 |
| 65 | BNM-Secured funding outflows based on secured cash flow | Outflows on annuity contracts, borrowings and deposits from central bank, sovereign, local government, PSE, state enterprise and MDB. | The outflow rates on secured funding, excluding repos, security lending transactions, derivatives, issued securities and credit/liquidity facilities, received from central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-off rates applicable to each counterparty type in the form of rollover rates i.e. 1 – run-off rates on secured cash flows. | Paragraphs 16.1 to 16.3 |
| 66 | BNM- Secured cash flow from other entities | Outflows on annuity contracts, borrowings and deposits from entities other than central bank, SMEs, corporates, sovereign, local government, PSE, state enterprise and MDB. | The outflow rates on the annuity contracts, borrowings from entities other than central bank, sovereign, local government, PSE, state enterprise, MDB, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to each counterparty type in the form of rollover rates i.e. 1 – run-off rates on secured cash flows. | Paragraphs 16.1 to 16.3 |
| 71 | BNM-Funds Fully Invested in Liquid Assets | Outflows on the total value of the funds which are fully invested in liquid assets | The outflow rate on the total value of fund which is fully invested in liquid assets is pre-defined as part of this assumption. This assumption applies a 10% run-off on these balances | Paragraph 27.7 |
| 72 | BNM-Funds Not Fully Invested In Liquid Assets-Based on Party | Outflows on funding provided by corporate, sovereign, central bank, MDB and PSE, retail, unsecured wholesale counterparties for UA funds that are not fully invested in liquid assets | The outflow rate on the value of fund, received from retail, central bank, corporates, SMEs, sovereign, PSE, and MDB, where the fund is not fully invested in liquid assets are pre-defined as part of this assumption. This assumption applies a 10% run-off on the outflows from retail and SME's treated as retail and customers and 40% for all other customers. | Paragraph 27.7 |
| 73 | BNM-Funds Not Fully Invested In Liquid Assets-Others | Outflows on funding provided by parties other than corporate, sovereign, central bank, MDB and PSE, retail, unsecured wholesale counterparties for UA funds that are not fully invested in liquid assets | The outflow rate on the value of fund, received from customers other than retail, central bank, corporates, SMEs, sovereign, PSE, and MDB, where the fund is not fully invested in liquid assets are pre-defined as part of this assumption. This assumption applies a 100% run-off on these balances. | Paragraph 27.7 |
| Inflows | ||||
| 1 | BNM-Revolving, Non-Maturity and Non-Performing Inflow Excl | Exclusion of inflows from revolving products, products that do not have a specified maturity, and products that are not fully performing. | The exclusion of cash inflows from revolving assets, assets that do not have a stated maturity and assets that are not fully performing is pre-defined as part of this assumption. This assumption applies a 100% rollover on the inflows from such assets. The inflow rate on the deposits, held by the bank at other institutions for operational purposes, are also pre-defined as part of this assumption. It applies a 0% inflow on such operational deposits. | Paragraphs 22.3, 22.4, 26.2 |
| 2 | BNM - Open Maturity Loans-retail and wholesale parties | Inflows due to minimum payments received within the LCR horizon on open maturity loans with retail counterparties | The inflow rate on the minimum payments of principal, interest and fee, that are contractually due within the LCR horizon, on an open maturity loan with retail counterparties and SMEs that are treated as wholesale, is pre-defined as part of this assumption. This assumption applies a 50% inflow on such minimum payments from retail counterparties and non-financial wholesale counterparties. it also applies a 100% inflow on such minimum payments from financial wholesale counterparties | Paragraph 22.4 |
| 3 | BNM - Other Deposit Inflows | Inflows from deposits placed with the central bank or with other banks that are not included as a level 1 asset in the stock of HQLA. | The inflow rate on the deposits held with central banks and other financial institutions maturing within the LCR horizon is pre-defined as part of this assumption. This assumption applies a 100% inflow on interest in the form of a 0% rollover rate. | Paragraph 26.1 |
| 4 | BNM - Secured Lending - Repo and Security Borrowings | Inflows from secured lending transactions excluding collateral swaps. | The inflow rates on the secured lending, excluding collateral swaps, are pre-defined as part of this assumption. This assumption applies the regulatory inflows to secured lending transactions based on the asset level of the collateral received. | Paragraphs 23.1 to 23.2 |
| 5 | BNM-Other Inflows from Retail and SME | Other inflows from fully performing loans, which have a specified maturity and are extended to retail customers and SMEs treated as retail. | The inflow rate on the fully performing loans with a stated maturity, extended to retail customers and SMEs who are treated like retail customers for the purposes of LCR, is pre-defined as part of this assumption. This assumption applies a 50% rollover i.e. 50% inflow on performing retail loans. | Paragraph 22.2 |
| 6 | BNM - Other Inflows from WSME, NFC, Sov, CB, MDB and PSE | Other inflows from fully performing loans, which have a specified maturity and are extended to small and medium enterprises treated as wholesale (WSME), non-financial corporate (NFC), sovereigns (Sov), central banks (CB), multilateral development banks (MDB) and public sector enterprises (PSE). | The inflow rate on the fully performing loans with a stated maturity, extended to wholesale SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and public sector enterprises is pre-defined as part of this assumption. This assumption applies a 0% rollover i.e. 100% inflow on performing loans from central banks and a 50% rollover i.e. 50% inflow on those from other non-financial counterparties specified earlier. | Paragraph 22.2 |
| 7 | BNM - Secured Lending - Collateral Swaps | Inflows from collateral swap transactions. | The inflow rates on collateral swaps are pre-defined as part of this assumption. This assumption applies the inflows applicable to the market value of placed collateral, when the collateral placed under a swap transaction is of a higher quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. | Paragraphs 23.1 to 23.2 |
| 8 | BNM-Derivative cash inflows | Net cash inflows from derivative transactions. | The inflow rate on the 30-day cash inflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% inflow on derivative cash inflows, on a net basis in case of derivatives which are part of a netting agreement and on a non-net basis for other derivatives. | Paragraph 24 |