4.3.2 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 3-9 List of pre-configured business assumptions
| Sl. No. | Business Assumption Name | Business Assumption Description | Regulatory Requirement Addressed | Regulatory ReferenceMAS Notice 649 Minimum Liquid Assets and Liquidity Coverage Ratio |
|---|---|---|---|---|
| Inflow | ||||
| 1 | MAS-Secured lending inflows where collateral is not reused | Inflows from secured lending transactions, where the collateral received is not reused to cover the customer or firm short positions | The inflow rate on secured lending transactions where the collateral received is not reused to cover customer or firm short positions, are pre-defined as part of this assumption. This assumption applies 0%, 15%, 25%, 50% and 100% inflow rate when collateral received is Level 1, Level 2A, Level 2B(I), Level 2B(II) RMBS, Level 2B(II) non-RMBS and non-HQLA respectively, on secured balance per collateral (i.e. used portion of Collateral) for secured lending transactions specified earlier. | Paragraph 92 |
| 2 | MAS-Secured lending inflow where collateral reused for <=30d | Inflows from secured lending transactions, where the collateral received is reused to cover the customer or firm short positions for a period less than the LCR horizon. | The inflow rate on secured lending transactions where the collateral received is reused to cover customer or firm short positions, for a period less than the LCR horizon, are pre-defined as part of this assumption. This assumption applies 0%, 15%, 25%, 50% and 100% inflow rate when collateral received is Level 1, Level 2A, Level 2B(I), Level 2B(II) RMBS, Level 2B(II) non-RMBS and non-HQLA respectively, on secured balance per collateral (i.e. used portion of Collateral) for secured lending transactions specified earlier. | Paragraph 92 |
| 3 | MAS-Secured lending inflow where collateral reused for >30d | Inflows from secured lending transactions, where the collateral received is reused to cover the customer or firm short positions for a period greater than the LCR horizon. | The inflow rate on secured lending transactions where the collateral received is reused to cover customer or firm short positions for a period more than the LCR horizon, are pre-defined as part of this assumption. This assumption applies a 0% inflow rate on secured balance per collateral (i.e. used portion of Collateral) for secured lending transactions specified earlier. | Paragraph 93 |
| 4 | MAS-Drawdowns on Committed Funding Facilities | Drawdowns on committed facilities received by the bank. | The inflow rate on the undrawn amount available for drawdown, on the committed credit, liquidity and other contingent funding 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 99 |
| 5 | MAS-Inflows from fully performing loans | Inflows from fully performing loans, which have a specified maturity and are extended to retail customers, SMEs, non-financial Corporates, sovereigns, central banks, multilateral development banks, PSEs and central banks. | The inflow rate on the fully performing loans and leases is pre-defined as part of this assumption. This assumption applies a 50 % inflow (i.e. 50% rollover) on cash flows occurring within the LCR horizon from loans and leases extended to retail customers, SMEs, Sovereigns, MDBs, PSEs and non-financial corporate. Additionally, it applies a 100% inflow (i.e. 0% rollover) on cash flow occurring within LCR horizon from loans and leases extended to central bank. | Paragraphs 102 and 103 |
| 6 | MAS-Other entity inflows from fully performing loans | Inflows from fully performing loans, which have a specified maturity and are extended to wholesale customers other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks, PSEs and central banks. | The inflow rate on the fully performing loans and leases is pre-defined as part of this assumption. This assumption applies a 50 % inflow (i.e. 50% rollover) on cash flows occurring within LCR horizon from loans and leases extended to non-financial entities apart from corporates. Additionally, it applies 100% inflow (i.e. 0% rollover) on cash flow occurring within LCR horizon from loans and leases extended to financial entities. | Paragraph 103 |
| 7 | MAS-Inflows from deposits placed at financial entities | Inflows from deposits held with other financial institutions and deposits held with the centralized institution of a cooperative banking network. | The inflow rate on deposits placed at banks or financial entities is pre-defined as part of this assumption. This assumption applies a 0% inflow (i.e. 100% rollover) on cash flows from deposits placed with other financial institutions and deposits placed with the centralized institution of a cooperative banking network. | Paragraphs 105 and 108 |
| 8 | MAS-Open maturity loan minimum payment inflows | Inflows due to minimum payments received within the LCR horizon on open maturity loans. | The inflow rate on the minimum payments that are contractually due within the LCR horizon, on an open maturity loans, credit cards, overdrafts, leases or line of credits are pre-defined as part of this assumption. This assumption applies a 100% inflow on such minimum amount dues to central bank and financial customers. Additionally, it applies a 50% inflow on minimum amount dues to retail and non-financial customers. | Paragraph 101 |
| 9 | MAS-Revolving, non-maturity, non-performing inflow exclusion | 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 0% inflow (i.e. 100% rollover) on the principal inflows from open maturity fully performing assets. Additionally, it applies a 0% inflow (i.e. 100% rollover) on the inflows from non-performing assets. | Paragraph 100 |
| 10 | MAS-Non-HQLA security inflows | Inflows from securities not included in the stock of HQLA. | The inflow rate on the performing debt securities that are excluded from the stock of HQLA is pre-defined as part of this assumption. This assumption applies a 100% inflow (i.e. 0% rollover) on cash flows from securities classified as Other Assets, and securities classified as HQLA but do not meet the eligibility criteria for inclusion in the stock of HQLA. It also applies a 0% inflow (i.e. 100% rollover) on non-performing securities or securities that are classified as HQLA and meet the criteria for inclusion in the stock of HQLA, to avoid double counting. | Paragraph 104 |
| 11 | MAS-Inflow from intra-group transactions | Inflows from net intra-group transactions. | Inflows from net intra-group transactions are pre-defined as part of this assumption. This assumption applies a 100% inflow if the netted value of cash flows at group level is positive. Another assumption, MAS-Outflow from intra-group transactions, applies a 100% outflow if the netted value of cash flows at group level is negative. | Paragraph 106 |
| 12 | MAS-Derivative cash inflows | 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 107 |
| 13 | MAS-Funding loss inflow on structured financing Instruments | Inflows from 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 EOP Balance Net of Underlying HQLA for structured financing instruments that mature within the LCR horizon. | Paragraphs 71 and 108 |
| Outflow | ||||
| 14 | MAS-Highly Stable retail deposits run-off | Run-offs on the highly stable portion of deposits from retail customers, and unsecured wholesale fundings from SMEs treated as retail. | The outflow rate on the highly stable portion of 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 3% run-off on the highly stable portion of retail deposits that are either not encumbered, or the 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 37, 40, 55 and Footnote 15 |
| 15 | MAS-Unencumbered part of highly stable retail deposit runoff | Run-offs on the unencumbered less stable portion of deposits from retail customers, and unsecured wholesale fundings from SMEs treated as retail, that have encumbrance period beyond the LCR horizon. | The outflow rate on the unencumbered portion of stable 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 3% run-off on unencumbered portion of stable deposit, having encumbrance period more than LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 37, 40, 55 and Footnote 15 |
| 16 | MAS-Stable retail deposits run-off | Run-offs on the stable portion of deposits from retail customers, and unsecured wholesale fundings from SMEs treated as retail. | The outflow rate on the stable portion of 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 the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 37,40,45 and 55 |
| 17 | MAS-Unencumbered part of stable retail deposit runoff | Run-offs on the unencumbered stable portion of deposits from retail customers, and unsecured wholesale fundings from SMEs treated as retail. | The outflow rate on the unencumbered portion of stable 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 unencumbered portion of stable deposits, having encumbrance period more than the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 37,40,45 and 55 |
| 18 | MAS-Less Stable retail deposits run-off | Run-offs on the less stable portion of deposits from retail customers, and unsecured wholesale fundings from SMEs treated as retail, that are either not pledged, or have encumbrance period within the LCR horizon | The outflow rate on the less stable portion of 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 the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 37,39,40, 45 and 55 |
| 19 | MAS-Unencumbered part of less stable retail deposit runoff | Run-offs on the unencumbered less stable portion of deposits from retail customers, and unsecured wholesale fundings from SMEs treated as retail, that have encumbrance period beyond the LCR horizon. | The outflow rate on the unencumbered portion of less stable 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 unencumbered portion of less stable deposit, having encumbrance period more than the LCR horizon, which either mature or result in an early withdrawal, without incurring significant penalty, within the LCR horizon. | Paragraphs 37,39,40, 45 and 55 |
| 20 | MAS-Insured operational balance run-off | Run-offs on the portion of operational balances from deposits generated by clearing, custody and cash management activities that is fully covered by deposit insurance. | The run-off rates on the insured portion of the balance held in operational accounts to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 3% run-off on insured operational balances that meet the additional criteria for deposit insurance schemes and a 5% run-off on those that do not meet the additional criteria. | Paragraph 46 to 52 |
| 21 | MAS-Uninsured operational balance run-off | Run-offs on the portion of operational balances from deposits generated by clearing, custody and cash management activities that is not covered by deposit insurance. | The run-off rates on the uninsured portion of the balance held in operational accounts to fulfill operational requirements are pre-defined as part of this assumption. This assumption applies a 25% run-off on operational balances that are not covered by deposit insurance. | Paragraph 46 to 52 |
| 22 | MAS- Deposits in institutional network of Co-op banks runoff | Run-offs on deposits placed with the central institutions, or specialized central service providers of an institutional network of co-operative banks due to statutory minimum deposit requirements, or in the context of common task sharing and legal, statutory or contractual arrangements. | The run-off rates on deposits placed by a member institution with the central institution or specialized central service providers of an institutional network of co-operative banks are pre-defined as part of this assumption. This assumption applies a 75% rollover i.e. a 25% run-off on deposits in institutional networks of cooperative banks, which are non-operational in nature, placed due to statutory minimum deposit requirements or in the context of common task sharing and legal, statutory or contractual arrangements. | Paragraph 53 to 54 |
| 23 | MAS-Outflows from correspondent banking | Outflows from deposits arising out of correspondent banking relationship. | The run-off rates from vostro balances are pre-defined as part of this assumption. This assumption applies a 100% run-off on EOP balance. | Paragraph 54 |
| 24 | MAS-Outflows on unsecured non-operational funding | Run-offs on the unsecured wholesale fundings, provided by SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, that are not classified as operational deposits. | The run-off rates on the cash flows, from unsecured fundings that are not classified as operational deposits, received from SME's and non-financial corporates treated as wholesale customers, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 80% rollover i.e. 20% run-off on cash flows from non-operational funding accounts that are fully covered by deposit insurance and a 60% rollover i.e. 40% run-off on those non-operational funding accounts that are not fully covered by deposit insurance. | Paragraph 56 |
| 25 | MAS-Outflows on non-operational part of operational account | Run-offs on unsecured wholesale funding, from wholesale customers other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, provided for non-operational | The run-off rates on the non-operational portion of operational deposits 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 non-operational portion of operational deposits that are fully covered by deposit insurance and a 40% run-off on the non-operational portion of operational deposits that are not fully covered by deposit insurance. | Paragraph 56 |
| 26 | MAS-Other legal entity unsecured wholesale funding run-off | Run-offs on unsecured wholesale funding, from wholesale customers other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, provided for non-operational purposes. | The run-off rates on the cash flows, from unsecured fundings that not classified as operational deposits, received from all financial counterparties other than SME's and non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 0% rollover i.e. 100% run-off on cash flows from non-operational funding. | Paragraph 57 |
| 27 | MAS-Co-operative Bank unsecured wholesale funding run-off | Run-offs on unsecured wholesale funding from credit co-operative banks provided for non-operational purposes. | The run-off rates on the cash flows, from unsecured fundings that not classified as operational deposits, received from credit co-operative banks are pre-defined as part of this assumption. This assumption applies a 0% rollover i.e. 100% run-off on cash flows from non-operational funding. | Paragraph 57 |
| 28 | MAS-Run-off on nonoperational balance of other entities | Run-offs on the non-operational portion of unsecured wholesale fundings provided by customers other than SMEs, non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs that are classified as operational deposits. | The run-off rates on the non-operational portion of operational deposits received from all financial counterparties other than SME's and non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs, are pre-defined as part of this assumption. This assumption applies a 100% run-off on non-operational portion of operational deposits. | Paragraph 57 |
| 29 | MAS-Runoff from issued debt security | Outflows on debt securities issued by the bank itself. | The run-off rates on the debt securities issued by the bank itself are pre-defined as part of this assumption. This assumption applies a 90% rollover i.e. 10% run-off on issued securities that are sold exclusively in the retail market and held in retail accounts, and 0% rollover i.e. 100% run-off on all other issued securities. | Paragraph 58 |
| 30 | MAS-Outflow from intra-group transactions | Outflows from net intra-group transactions | Outflows from net intra-group transactions are pre-defined as part of this assumption. This assumption applies 100% outflow if the netted value of cash flows at group level is negative. Another assumption, MAS-Inflow from intra-group transactions applies 100% inflow if the netted value of cash flows at group level is positive. | Paragraph 57 |
| 31 | MAS-Secured funding run-off | Run-offs on secured fundings, excluding collateral swaps. | The run-off rates on the secured funding, excluding collateral swaps, received from sovereigns, central banks, multilateral development banks and PSEs, 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. | Paragraphs 60 to 69 |
| 32 | MAS-Secured funding run-off from other legal entities | Run-off on secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks and PSEs where the transaction is backed by level 2B(I), level 2B(II) non-RMBS or other assets. | The run-off rates on the secured funding, excluding collateral swaps, received from counterparties other than sovereigns, central banks, multilateral development banks and PSEs, where the transaction is backed by level 2B(I), level 2B(II) non-RMBS or other assets, are pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to other counterparties, based on the asset quality of the placed collateral, in the form of rollover rates i.e. 1 – run-off rates. | Paragraphs 60 to 69 |
| 33 | MAS-Outflows from deliverable derivatives | Outflows from derivatives with physical delivery settlement | The outflow rate on the 30-day cash outflows from derivative transactions which are physically delivered is pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to other counterparties, based on the asset quality of the delivered assets, in the form of rollover rates i.e. 1 – run-off rates. | Paragraphs 60 to 64 |
| 34 | MAS-Deliverable derivatives outflows from other entities | Outflows from derivatives, with physical delivery settlement, from all counterparties other than sovereigns, MDBs and PSEs. | The outflow rate on the 30-day cash outflows from derivative transactions which are physically delivered is pre-defined as part of this assumption. This assumption applies the regulatory run-offs applicable to counterparties other than sovereigns, MDB and PSE, based on the asset quality of the delivered assets, in the form of rollover rates i.e. 1 – run-off rates. | Paragraphs 60 to 64 |
| 35 | MAS-Derivative cash outflows | Net cash outflows from derivative transactions. | The outflow rate on the 30-day cash outflows from derivative transactions is pre-defined as part of this assumption. This assumption applies a 100% outflow on derivative cash outflows, 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 64 |
| 36 | MAS-Rating downgrade related collateral outflow | Increased liquidity needs arising from the requirement to post an 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 65 |
| 37 | MAS-Re-hypothecation rights lost due to rating 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, resulting 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 65 |
| 38 | MAS-Increased liquidity needs due to collateral value change | Increased liquidity needs arising from the potential change in the value of a posted collateral. | The outflow rate on the additional cash outflow due to a potential loss in the market value of non-level 1 assets 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 66 |
| 39 | MAS-Outflow of 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 67 |
| 40 | MAS-Outflow of contractually due collateral | Increased liquidity needs arising from collaterals that are 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 68 |
| 41 | MAS-Outflows from 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 69 |
| 42 | MAS-Increased liquidity need 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 70 |
| 43 | MAS-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 EOP Balance Net of Underlying HQLA for structured financing instruments that mature within the LCR horizon. | Paragraph 71 |
| 44 | MAS-Loss of Funding from Financing Facility-Liquidity Draws | Loss of funding on asset-backed commercial papers, 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 72 |
| 45 | MAS-Loss of Funding from Financing Facility-Maturing debt | Loss of funding on asset-backed commercial papers, conduits, securities investment vehicles and other such financing facilities due to inability to refinance the maturing debt. | The run-off rate on the maturing amounts of asset-backed commercial papers, 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. | Paragraph 72 |
| 46 | MAS-Loss of Funding from Financing Facility-Return of assets | Loss of funding on asset-backed commercial papers, 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 papers, 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. | Paragraph 72 |
| 47 | MAS-Draws on committed credit and liquidity facilities | Drawdowns on committed credit and liquidity facilities extended to retail customers, SMEs, non-financial corporates and PSEs, sovereigns, central banks, MDBs and banks excluding SPEs. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to retail customers, non-financial corporates and PSEs, sovereigns, central banks and MDBs is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type, for the aforementioned counterparties. | Paragraphs 73 to 79 |
| 48 | MAS-Draws on committed facility to other FI,legal entity | Drawdowns on committed credit and liquidity facilities extended to entities other than retail customers, SMEs, non-financial corporates and PSEs, sovereigns, central banks, MDBs, PSEs and banks excluding SPEs. Additionally, drawdowns on committed credit and liquidity facilities extended to hedge funds, money market funds and SPEs. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers other than retail customers, non-financial corporates and PSEs, sovereigns, central banks, MDBs, hedge funds, mutual funds, SPEs and banks is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type. | Paragraphs 73 to 79 |
| 49 | Draws on committed credit and liquidity facility by bank | Drawdowns on committed credit and liquidity facilities extended to banks excluding SPEs. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to customers, is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, for banks excluding SPEs. | Paragraphs 73 to 79 |
| 50 | MAS-Draws on facility to hedge and money market fund,SPE | Drawdowns on committed credit and liquidity facilities extended to hedge funds, money market funds and SPEs. | The outflow rate on the undrawn amount available to be drawn down on the committed credit and liquidity facilities extended to hedge funds, mutual funds and SPEs, is pre-defined as part of this assumption. This assumption applies the relevant outflow as a drawdown rate, based on the counterparty type. | Paragraph 77 |
| 51 | MAS-Other contractual obligation to financial institution | Outflows related to other contractual obligations to extend funds within 30 days to financial institutions. | The outflow rate on other contractual obligations to extend funds to financial institutions, not covered in the previous assumptions, is pre-defined as part of this business assumption. This assumption applies a 100% outflow rate on such contractual obligations. | Paragraph 80 |
| 52 | MAS-Other contractual obligation to nonfinancial institution | 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 81 |
| 53 | MAS-Other contractual obligation outflows | Outflows related to trade finance related instruments. | The outflow rate on guarantees, letter of credit and bills of exchange is pre-defined as part of this assumption. This assumption applies a 3% run-off on such instruments when used for the trade finance whereas 100% run-off is applied if used for non-trade finance related obligation. | Paragraphs 82 to 88 |
| 54 | MAS-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 100% drawdown on the uncommitted facilities. | Paragraphs 82 to 88 |
| 55 | MAS-Outflows Related to Short Positions | Outflows related to customer and bank short positions. | The outflow rate on the short positions is pre-defined as part of this assumption. This assumption specifies run-off rates on the short positions based on assets covering such short positions. | Paragraphs 82 to 88 |
| 56 | MAS-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 100% outflow rate on the non-contractual obligations. | Paragraphs 82 to 88 |
| 57 | MAS-Contractual interest payment outflows | Outflows related to contractual payments of interests. | 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 89 |
| 58 | MAS-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 89 |
| Collateral Swap | ||||
| 59 | MAS-Outflows from collateral swaps | Outflows from collateral swap transactions | The outflow rates on collateral swaps are pre-defined as part of this assumption. This assumption applies the outflows applicable to the market value of received collateral, when the collateral placed under a swap transaction is of lower or equal quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. | Paragraphs 60 to 63 |
| 60 | MAS-Collateral swap inflows where collateral is not reused | Inflows from collateral swap transactions where the collateral received is not reused to cover customer or firm short positions. | The inflow rates on collateral swaps where the collateral received is not reused to cover customer or firm short positions, 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 higher or equal quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. | Paragraph 92 |
| 61 | MAS-Collateral swap inflow where collateral reused for <=30d | Inflows from collateral swap transactions where the collateral received is reused to cover customer or firm short positions for a period less than the LCR horizon. | The inflow rates on collateral swaps where the collateral received is reused to cover customer or firm short positions for a period less than LCR horizon, 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 higher or equal quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. | Paragraph 92 |
| 62 | MAS-Collateral swap inflow where collateral reused for >30d | Inflows from collateral swap transactions where the collateral received is reused to cover customer or firm short positions for a period greater than the LCR horizon. | The inflow rates on collateral swaps where the collateral received is reused to cover customer or firm short positions for a period more than LCR horizon, 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 higher or equal quality than the collateral received, as the difference between the liquidity haircuts applicable to the placed and received collateral. | Paragraph 93 |