1. Liquidity Risk Regulatory Calculations for Monetary Authority of Singapore User Guide
  2. Liquidity Coverage Ratio Calculation
  3. Process Flow
  4. Identification and Treatment of Pledged Deposits
  5. Treatment of Pledged Deposits

4.2.7.2 Treatment of Pledged Deposits

When all the conditions mentioned in the guidelines are satisfied, the encumbered portion of pledged deposits is excluded and hence receives a 0% factor. The unencumbered portion of the pledged deposits is included and receives appropriate run off rate as applicable.

To cater to pledged deposits, the following based measures are used in the business assumptions.

  • Unencumbered highly stable balance: This measure populates the portion of highly stable amount, which is unencumbered.
  • Unencumbered stable balance: This measure populates the portion of stable amount, which is unencumbered.
  • Unencumbered less stable balance: This measure populates the portion of less stable amount, which is unencumbered.
  • Encumbered balance: This measure populates the encumbered amount of the deposit.

See Regulations Addressed through Business Assumptions for details of the pre seeded assumptions on pledged deposits.