7.2.2 Computing Available Amount of Core Funding
The available core-funding factor is a pre-determined weight ranging from 0% to 100% which is applied through business assumptions for the accounts falling under the dimensional combinations defined. The weights are guided by the CFR standard. The available core funding is then taken as a total of all the weighted amounts where an ACF factor is applied.
Foreign bank branches can account for the undrawn contractual committed facilities from its head office or other branches that are the same entity and are regional hubs as ACF up to 40% of the minimum ACF required to meet the minimum requirement of CFR.
The formula for calculating the Available Amount of Stable Funding is as follows:
Figure 6-2 Available Amount of Core Funding
The following is an example of applying the ACF factor:
Consider an assumption defined with the following dimensional combination and ACF factors, based on the measure being Total Stable Balance.
Table 6-1 Illustration-Applying ACF Factor
| Product | Retail/Wholesale Indicator | Residual Maturity Band | ACF Factor |
|---|---|---|---|
| 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 ACF factors is as follows.
Table 6-2 Illustration Continued-Applying ACF Factor
| Account | Stable Balance | ACF Weighted Amount |
|---|---|---|
| A1 | 3400 | 3230 |
| A2 | 3873 | 3679.35 |
| A3 | 9000 | 8550 |
| A4 | 1000 | 950 |
| A5 | 100 | 95 |
If OFS Basel is not installed, then the following items must be provided as a download in the STG_CAP_INSTR_POSITIONS 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 CFR