1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Net Stable Funding Ratio Calculation
  3. Pre-configured MAS Regulatory NSFR Scenarios
  4. Regulation Addressed through Business Assumptions
  5. Required Stable Funding Factor

5.3.1.2 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 4-5 List of pre-seeded assumptions

Assumption Name Assumption Description Regulatory Requirement Addressed Regulatory Reference :MAS Notice 652
MAS-RSF-Coins and banknotes RSF on coins, banknotes, cash and restricted cash held by the bank. The RSF factor applicable to coins, banknotes, and cash held by the bank, is pre-defined as a part of this assumption. This assumption applies 0% RSF factor on the coins, banknotes, and cash held by bank. Paragraph 32(a)
MAS-RSF-Central bank reserves RSF on all central bank reserves, including, required reserves and excess reserves. The RSF factors applicable to required and excess central bank reserves, are pre-defined as a part of this assumption. This assumption applies a 0% RSF factor to all central bank reserves. Paragraph 32(b)
MAS-RSF- Unencumbered claims on central banks RSF on unencumbered loans and other claims on central banks The RSF factors applicable to unencumbered loans, debt security and claims on central banks, are pre-defined as part of this assumption. This assumption applies 0%, 50% and 100% RSF factors to the loans, debt security and claims on central banks with remaining maturity period of less than 6 months, between 6 months and 1 year, and 1 year or more respectively. Paragraphs 25, 32(c), 36(c), 40(a)
MAS-RSF- Encumbered claims on central banks RSF on encumbered loans and other claims on central banks The RSF factors applicable to encumbered loans, debt security and claims on central banks, are pre-defined as part of this assumption. For the qualifying assets with encumbrance period of less than 6 months, the assumption applies 0%, 50%, and 100% RSF factors based on a remaining maturity of less than 6 months, between 6 months and 1 year, and 1 year or more respectively. For assets with encumbrance period of between 6 months and 1 year, the assumption applies 50%, and 100% RSF factors based on a remaining maturity of less than 1 year and 1 year or more respectively. A 100% RSF factor is applied to all assets maturing within a year and encumbrance period of 1 year or more. Paragraphs 25, 32(c), 36(c), 40(a)
MAS-RSF-Unencumbered loans to fin entity backed by level 1 asset RSF on unencumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. The RSF factors applicable on the unencumbered loans and overdrafts given to financial institutions secured by a level 1 asset, are pre-defined as a part of this assumption. The assumption applies RSF factor of 10%,50%,100% on the unencumbered secured loans given to financial institutions secured by level 1 asset with remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively, where the collateral received can be re-hypothecated for the life of loan. The assumption applies RSF factor of 15%,50%,100% on the unencumbered secured loans given to financial institutions secured by level 1 asset with remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively, where the collateral received cannot be re-hypothecated for the life of loan. Paragraphs 25, 34, 35(b), 36(c), 40(a), 40(c )
MAS-RSF-Encumbered loans to fin entity backed by level 1 asset RSF on encumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. The RSF factors applicable on the loans and overdrafts given to financial institutions secured by a level 1 asset, are pre-defined as a part of this assumption. The assumption applies relevant RSF factors on the encumbered secured loans based on the residual maturity and encumbrance period of the loan. Paragraphs 25, 34, 35(b), 36(c), 40(a), Paragraph 40(c )
MAS-RSF-Unencum loans to fin entity backed by non-level 1 asset RSF on unencumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR. The RSF factors applicable on the unencumbered loans given to financial institutions secured by assets belonging to levels other than level 1, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies RSF factor of 15%, 50%, 100% on the unencumbered secured loans given to financial institutions secured by assets belonging to levels other than level 1 with remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively. Paragraphs 25, 34, 35(b), 36(c), 40(a), 40(c )
MAS-RSF-Encumbered loan to fin entity backed by non-level1 asset RSF on encumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR. The RSF factors applicable on the encumbered loans given to financial institutions secured by assets belonging to levels other than level 1, are pre-defined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans based on the residual maturity and encumbrance period of the loan.
MAS-RSF-Unencumbered unsecured loans to financial entities RSF on unencumbered unsecured loans to financial institutions. The RSF factors applicable on the unencumbered unsecured loans given to financial institutions, are pre-defined as a part of this assumption. The assumption applies RSF factor of 15%, 50%, and 100% on the unencumbered unsecured loans given to financial institutions, with remaining maturity of less than 6 months, 6 months to 1 year and 1 year or more respectively. Paragraphs 25, 35(b), 36(c), 40(a), 40(c)
MAS-RSF-Encumbered unsecured loans to financial entities RSF on encumbered unsecured loans to financial institutions. The RSF factors applicable on the encumbered unsecured loans given to financial institutions, are pre-defined as a part of this assumption. The assumption applies relevant RSF factor on the encumbered secured loans given to financial institutions based on the residual maturity and encumbrance period of the loan. Paragraphs 25, 35(b), 36(c), 40(a), 40(c)
MAS-RSF-Unencumbered level 1 assets RSF on unencumbered assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies a 5% RSF factor on the unencumbered Level 1 assets. Paragraphs 25, 33, 36(b), 40(a)
MAS-RSF-Unencumbered level 2A assets RSF on unencumbered assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 2A, and 2B of High quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies a 15% RSF factor on the unencumbered Level 2A assets. Paragraphs 25, 35(a), 36(b), 40(a)
MAS-RSF-Unencumbered level 2B assets RSF on unencumbered assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. The RSF factors applicable to unencumbered assets, which qualify for inclusion in Level 2A, and 2B of High quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies a RSF factor of 50% on the unencumbered Level 2B assets Paragraphs 25, 36(a), 36(b), 40(a)
MAS-RSF- Encumbered level 2B assets RSF on encumbered portion of assets which qualify for inclusion in Level 2B of High quality liquid assets as defined in the LCR. The RSF factors applicable to encumbered portion of assets, which qualify for inclusion in Level 2B of High quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered portion of Level 2B assets, with encumbrance period of less than 1 year and 1 year or more respectively. Paragraphs 25, 36(a), 36(b), 40(a)
MAS-RSF-Encumbered level 1 assets RSF on encumbered portion of assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR. The RSF factors applicable to encumbered portion of assets, which qualify for inclusion in Level 1 of High quality liquid assets as, defined in the LCR, are pre-defined as a part of this assumption. The assumption applies 5%, 50% and 100% RSF factors on the encumbered portion of Level 1 assets, with encumbrance period of less than 6 months, between 6 months to 1 year and 1 year or more respectively. Paragraphs 25, 33, 36(b), 40(a)
MAS-RSF- Encumbered level 2A assets RSF on encumbered portion of assets which qualify for inclusion in Level 2A of High quality liquid assets as defined in the LCR. The RSF factors applicable to encumbered portion of assets, which qualify for inclusion in Level 2A of High quality liquid assets as defined in the LCR, are pre-defined as a part of this assumption. The assumption applies 15%, 50% and 100% RSF factors on the encumbered portion of Level 2A assets, with encumbrance period of less than 6 months, between 6 months to 1 year and 1 year or more respectively. Paragraphs 25, 35(a), 36(b), 40(a)
MAS-RSF-Unencumbered operational deposits with financial entity RSF on operational portion of Unencumbered deposits held at other financial institutions, for operational purpose and are subject to the 50% ASF treatment. The RSF factors applicable to operational portion of unencumbered deposits held at other financial institutions to fulfil the operational requirements, are pre-defined as part of this assumption. The assumption applies RSF factor of 50% and 100% on operational portion of unencumbered deposits held at other financial institutions, with remaining maturity of less than 1 year and 1 year or more respectively. Paragraphs 25, 36(d), 40(a)
MAS-RSF-Unencumbered non-operational deposit with fin entity RSF on non-operational portion of Unencumbered deposits held at other financial institutions, for operational purpose and are subject to the 50% ASF treatment. The RSF factors applicable to non-operational portion of unencumbered deposits held at other financial institutions, are pre-defined as part of this assumption. The assumption applies RSF factor of 15%, 50% and 100% on non-operational portion of unencumbered deposits held at other financial institutions, with remaining maturity of less than 6 months, between 6 months to 1 year and 1 year or more respectively. Paragraphs 25, 36(d), 40(a)
MAS-RSF-Encumbered deposits with financial entity RSF on encumbered deposits, held at other financial institutions, for operational purpose and are subject to the 50% ASF treatment. The RSF factors applicable to operational portion of encumbered deposits held at other financial institutions, are pre-defined as part of this assumption. The assumption applies RSF factor of 50% and 100% on operational portion of unencumbered deposits held at other financial institutions, with remaining maturity of less than 1 year and 1 year or more respectively. Paragraphs 25, 36(d), 40(a)
MAS-RSF- Trade date receivables RSF on trade date receivables arising from purchases of foreign currencies, financial instruments and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle. The RSF factor applicable to trade date receivables arising from sell of foreign currencies, money market instruments and commodities that are expected to settle or have failed but are expected to settle within the standard settlement cycle, are pre-defined as part of this assumption. The assumption applies 0% RSF factor on cash flows of trade receivables, which are expected to settle within settlement cycle. Paragraph 32(d)
MAS-RSF-Unencumbered residential mortgage loans RSF on 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 The RSF factors applicable to unencumbered residential mortgage loans, with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. The assumption applies RSF factors of 50% and 65% on the unencumbered residential mortgage loans, with remaining maturity of less than 1 year and 1 year or more respectively, with risk weights less than or equal to 35%. It applies RSF factors of 50% and 85% on the unencumbered residential mortgage loans, with remaining maturity of less than 1 year and 1 year or more respectively, with risk weights greater than 35%. Paragraphs 25, 36(e), 37(a), 40(a)
MAS-RSF-Encumbered residential mortgage loans RSF on 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 The RSF factors applicable to encumbered residential mortgage loans, with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. The assumption applies relevant RSF factor on the encumbered residential mortgage loans based on the residual maturity and encumbrance period of the loan. Paragraphs 25, 36(e), 37(a), 40(a)
MAS-RSF-Deposits placed within same co-operative network RSF on 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. This assumption applies a 15% RSF factor on the EOP carrying value of deposits with maturity within of 6 months, a 50% RSF factor on the EOP carrying value of deposits with maturity within of 6 months to less than 1 year and a 100% RSF factor on the EOP carrying value of deposits with maturity of 1 year or more. Paragraphs 15, 25, 35(b), 36(c), 40(a), 40(c)
MAS-RSF-Unencumbered other deposits from co-operative network RSF on unencumbered other deposits from cooperative banks. This assumption specifies the other unencumbered deposits from cooperative banks. This assumption applies a 15% RSF factor on the Unencumbered balance of other deposits by cooperative banks with maturity within of 6 months, a 50% RSF factor on the Unencumbered balance of deposits with maturity within of 6 months to less than 1 year and a 100% RSF factor on the Unencumbered balance of deposits with maturity of 1 year or more. Paragraphs 15, 25, 35(b), 36(c), 40(a), 40(c)
MAS-RSF-Encumbered other deposits from co-operative network RSF on encumbered other deposits from Cooperative banks This assumption specifies the other encumbered deposits from cooperative banks. This assumption applies a 15% RSF factor on the Encumbered carrying value of other deposits by cooperative banks with maturity within of 6 months, a 50% RSF factor on the Encumbered carrying value of deposits with maturity within of 6 months to less than 1 year and a 100% RSF factor on the Encumbered carrying value of deposits with maturity of 1 year or more. Paragraphs 15, 25, 35(b), 36(c), 40(a), 40(c)
MAS-RSF-Unenc loan to non-fin corp,SOV,PSE,MDB mat less than 1yr RSF on encumbered loans with residual maturity of less than a year to non financial corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB). The RSF factors applicable on the unencumbered loans given to non financial corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB), with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies RSF factor of 50% on the unencumbered carrying value. Paragraphs 25, 36(e), 40(a)
MAS-RSF-Encumumbered loan to non-fin corporate,sovereign,PSE,MDB RSF on encumbered loans to non-financial corporates, retail customers, sovereigns, public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB). The RSF factors applicable on the encumbered loans given to non financial corporates, retail customers, sovereigns (SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB), with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered carrying value, with encumbrance period of less than 1 year and 1 year or more respectively. Paragraphs 25, 36(e), 40(a)
MAS-RSF-Other unencumbered loan to non-fin corporate,SOV,PSE,MDB RSF on other unencumbered loans having Basel risk weight of more than 35 % with any maturity or having Basel risk weight of less than 35 % but residual maturity of more than a year to non-financial corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB). The RSF factors applicable to unencumbered fully performing loans to non-financial corporates, retail customers, sovereigns (SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB), with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. The assumption applies RSF factors of 65% on the unencumbered carrying value, with remaining maturity of 1 year or more having risk weights less than or equal to 35%. It applies RSF factors of 50% and 85% on the unencumbered carrying value, with remaining maturity of less than 1 year and 1 year or more respectively, with risk weights greater than 35%. Paragraphs 25, 37(b), 36(e), 38(b), 40(a)
MAS-RSF-Other encumbered loans to non-fin corporate,SOV,PSE,MDB RSF on other encumbered loans having Basel risk weight of more than 35 % with any maturity or having Basel risk weight of less than 35 % but residual maturity of more than a year to non-financial corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB). The RSF factors applicable to encumbered fully performing loans to non-financial corporates, retail customers, sovereigns (SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB), with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. The assumption applies relevant RSF factor on the encumbered carrying value based on the residual maturity and encumbrance period of the loan. Paragraphs 25, 37(b), 36(e), 38(b), 40(a)
MAS-RSF-Other unencumbered loan to other entities RSF on other unencumbered loans with residual maturity of less than a year to all entities other than banks, central banks, corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB). The RSF factors applicable on the unencumbered loans given to all entities other than banks, central banks, corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB), with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies RSF factor of 50% on the unencumbered carrying value. Paragraphs 25, 36(e), 40(a)
MAS-RSF-Other encumbered loan to other entities RSF on other encumbered loans to all entities other than banks, central banks, corporates, retail customers, sovereigns(SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB). The RSF factors applicable on the encumbered loans given all entities other than banks, central banks, corporates, retail customers, sovereigns (SOV), public sector entities (PSE), multilateral development banks (MDB) and national development banks (NDB), are pre-defined as a part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered carrying value, with encumbrance period of less than 1 year and 1 year or more respectively. Paragraphs 25, 36(e), 40(a)
MAS-RSF-Unencumbered non-HQLA securities maturity less than 1yr RSF on unencumbered securities, with maturity less than 1 year, which do not qualify as high quality liquid assets under the liquidity coverage ratio (LCR) rule. The RSF factors applicable to unencumbered securities, with remaining maturity of less than 1 year and which do not qualify, as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies a 50% RSF factor on unencumbered securities, which do not qualify as High quality liquid assets under the LCR Rule, with remaining maturity of less than 1 year Paragraphs 25, 36(e), 38(c), 40(a)
MAS-RSF-Unencumbered non-HQLA securities maturity more than 1yr RSF on unencumbered securities which are not in default, with maturity greater than 1 year that do not qualify as high quality liquid assets under the liquidity coverage ratio (LCR) rule. The RSF factors applicable to unencumbered securities that are not in default, with remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule , are pre-defined as part of this assumption. The assumption applies a 85% RSF factor on unencumbered securities, with remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. Paragraphs 25, 36(e), 38(c), 40(a)
MAS-RSF-Encumbered non-HQLA securities maturity less than 1yr RSF on encumbered portion of securities, with maturity less than 1 year that do not qualify as high quality liquid assets under the liquidity coverage ratio (LCR) rule. The RSF factors applicable to encumbered portion of the securities, with remaining maturity of less than 1 year and which do not qualify as High quality liquid assets under the LCR Rule , are pre-defined as part of this assumption. The assumption applies 50% and 100% RSF factors on the encumbered portion of the securities, with encumbrance period of less than 1 year and 1 year or more respectively which do not qualify as High quality liquid assets under the LCR Rule. Paragraphs 25, 36(e), 38(c), 40(a)
MAS-RSF-Encumbered non-HQLA securities maturity more than 1yr RSF on encumbered portion of securities which are not in default, with maturity greater than 1 year that do not qualify as high quality liquid assets under the liquidity coverage ratio (LCR) rule. The RSF factors applicable to encumbered portion of the securities that are not in default, with remaining maturity of more than 1 year and which do not qualify as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies 80% and 100% RSF factors on the encumbered portion of the securities, with encumbrance period of less than 1 year and 1 year or more respectively which do not qualify as High quality liquid assets under the LCR Rule. Paragraphs 25, 36(e), 38(c), 40(a)
MAS-RSF-Encumbered non-HQLA exchange traded equities RSF on encumbered exchange traded equities, that do not qualify as high quality liquid assets under the liquidity coverage ratio (LCR) rule. The RSF factors applicable to encumbered exchange traded equities that are settled and do not qualify as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies 85% and 100% RSF factors on the encumbered carrying value of the securities, with encumbrance period of less than 1 year and 1 year or more respectively which do not qualify as High quality liquid assets under the LCR Rule. Paragraphs 25, 38(c), 40(a)
MAS-RSF-Unencumbered non-HQLA exchange traded equities RSF on unencumbered exchange traded equities, that do not qualify as high quality liquid assets under the liquidity coverage ratio (LCR) rule. The RSF factors applicable to unencumbered exchange traded equities that are settled and do not qualify as High quality liquid assets under the LCR Rule, are pre-defined as part of this assumption. The assumption applies an 85% RSF factor on unencumbered carrying value. Paragraphs 25, 38(c), 40(a)
MAS-RSF-Unencumbered commodities RSF on unencumbered physically traded commodities, including gold. The RSF factors applicable to unencumbered physically traded commodities, including gold, are pre-defined as part of this assumption. The assumption applies an 85% RSF factor on the unencumbered carrying value of the commodities. Paragraphs 25, 38(d), 40(a)
MAS-RSF-Encumbered commodities RSF on encumbered physically traded commodities including gold. The RSF factors applicable to encumbered physically traded commodities, including gold, are pre-defined as part of this assumption. The assumption applies 85% and 100% RSF factors on the encumbered carrying value of the commodities, with encumbrance period of less than 1 year and 1 year or more respectively. Paragraphs 25, 38(d), 40(a)
MAS-RSF-Non performing loans RSF on non-performing loans. The RSF factors applicable to non-performing loans, are pre-defined as part of this assumption. The assumption applies a 100% RSF factor on the EOP carrying value of the non-performing loans. Paragraph 40(c)
MAS-RSF-Defaulted securities RSF on securities that are in default. The RSF factors applicable to securities that are in default, are pre-defined as part of this assumption. The assumption applies a 100% RSF factor on the EOP carrying value of the defaulted securities. Paragraph 40(c)