7.4.1 Regulation Addressed through Business Assumptions

The application supports multiple assumptions with pre-configured rules and scenarios based on regulator specified NSFR scenario parameters. The list of pre-configured business assumptions and the corresponding reference to the regulatory requirement that it addresses is provided in the following tables:

Table 6-2 Regulation Addressed through Business Assumptions

Sl. No.	Assumption Name	Assumption Description	Regulatory Requirement Addressed	Regulatory Reference: Federal Reserve-12 CFR Part 249
1	[Fed]-Regulatory Capital Elements	Common Equity Tier 1, Additional Tier 1 and Tier 2 capital prior to the application of capital adjustments or deductions.	This assumption specifies factors for Tier 1 and Tier 2 capital, before the application of capital deductions and excluding the proportion of Tier 2 instruments with residual maturity of less than one year.	Paragraph II-C-3(a) and K.104
2	[Fed]-Stable Retail Deposits	Stable Retail deposits held directly at a covered company.	This set of assumptions specifies factors for Retail Deposits based on whether it is brokered or not and if brokered-based on the type of brokered deposit such as Reciprocal, sweep and other deposits	Paragraph II-C-3(b, c, and d) and K.104
3	[Fed]-Less Stable Retail Deposits	Less Stable Retail deposits held directly at a covered company.
4	[Fed]-Reciprocal brokered deposits	Fully insured and uninsured Reciprocal Brokered Deposits
5	[Fed]-Brokered Sweep Deposits	All types of Brokered sweep deposits including insured and uninsured accounts, affiliated and unaffiliated broker accounts
6	[Fed]-Other Brokered Deposits	Brokered deposits which are neither reciprocal nor sweep deposits.
7	[Fed]-Retail non deposit funding	Retail Funding which are not in the form of deposits.	This assumption specifies the factors for all funding other than deposits from Retail customers.	Paragraph II-C-3(e.) and K.104
8	[Fed]-Non operational balances from non financial customers	Non operational funding received from wholesale customers who are not financial entities or consolidated entities of a financial entity and which matures within 6 months	This set of assumptions specifies the factors for deposits from wholesale customers on the basis of operational deposit, type of wholesale counterparty and secured/unsecured status.	Paragraph II-C-3(d) and K.104
9	[Fed]-Non operational CF from non financial customers	Non operational funding received from wholesale customers who are not financial entities or consolidated entities of a financial entity and which matures beyond 6 months
10	[Fed]-Operational balances from wholesale customers	Operational funding received from all types of wholesale customers and which matures within 6 months
11	[Fed]-Operational CF from wholesale customers	Operational funding received from all types of wholesale customers and which matures beyond 6 months
12	[Fed]-Non operational balances from financial customers	Non operational funding received from wholesale customers who are either financial entities or consolidated entities of a financial entity and which matures within 6 months
13	[Fed]-Non operational CF from financial customers	Non operational funding received from wholesale customers who are either financial entities or consolidated entities of a financial entity and which matures beyond 6 months
14	[Fed]-Secured deposits and other funding from wholesale customers	Secured funding received from wholesale customers and which matures within 6 months
15	[Fed]-Secured deposits and other funding from wholesale customers-CF	Secured funding received from wholesale customers and which matures beyond 6 months
16	[Fed]-Long term liabilities	Deposits and Borrowings with a remaining term to maturity of greater than 1 year as prescribed in the US NSFR guidelines.	This assumption specifies the factor for long term funding from wholesale customers. (Maturity beyond one year)	Paragraph II-C-3(a) and K.104
17	[Fed]-Issued Securities	Securities issued by the covered company.	This assumption specifies the factor for securities issued by the covered company.	Paragraph II-C-3(a, d and e.) and K.104
18	[Fed]-Trade date payables	Trade date payables that result from purchases by a covered company of financial instruments, foreign currencies, and commodities.	This assumption specifies factor for trade date payables.	Paragraph II-C-3( e.) and K.104
19	[Fed]-Deferred Tax liabilities	Deferred Tax Liabilities	This assumption specifies factor for deferred tax liabilities.
20	[Fed]-Cash and cash items in process of collection	Coins, banknotes, cash, restricted cash and cash items in process of collection, such as bank drafts and cheques.	This assumption specifies factor for Coins, banknotes, cash and restricted cash held by the bank.	Paragraph II-D-3(a) (i) and K.106 (1)
21	[Fed]-Central bank reserves	All central bank reserves, including, required reserves and excess reserves.	This assumption specifies factor for central bank reserves
22	[Fed]-Trade date receivables	Trade date receivables that result from sale of financial instruments, foreign currencies, and commodities.	This assumption specifies factor for trade date receivables.	Paragraph II-D-3(a) (i) and K.106 (1)
23	[Fed]-Claims on central banks	Unencumbered loans and other claims on central banks	This set of assumptions specifies factors for claims on Central banks	Paragraph II-D-3(a) (i) and K.106 (1) (iii) and (iv)
24	[Fed]-Encumbered claims on central banks	Encumbered loans and other claims on central banks
25	[Fed]-Unencumbered level 1 assets	Unencumbered assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR.	This set of assumptions specifies factors for unencumbered and encumbered high quality liquid assets	Paragraph II-D-3(a) (ii),(iv) and (v) and K.106(2),(4) and (5)
26	[Fed]-Unencumbered level 2A and 2B assets	Unencumbered assets which qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the LCR.
27	[Fed]-Encumbered level 1 assets	Encumbered portion of assets which qualify for inclusion in Level 1 of High quality liquid assets as defined in the LCR.
28	[Fed]- Encumbered level 2 assets	Encumbered portion of assets which qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the LCR.
29	[Fed]-Loans to FI secured by level 1 asset	Unencumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR.	This set of assumptions specifies factors for loans to financial parties on the basis of encumbrance and maturity.	Paragraph II-D-3(a) (vi), (vii) and K.106(6) and (7)
30	[Fed]-Encumbered loans to FI secured by level 1 asset	Encumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR.
31	[Fed]-Loans to FI secured by other assets	Unencumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR.
32	[Fed]- Encumbered loans to FI secured by other assets	Encumbered loans to financial institutions where the loan is secured against assets belonging to levels other than level 1, as defined in the LCR.
33	[Fed]-Unsecured loans to financial instituitions	Unencumbered unsecured loans to financial institutions.
34	[Fed]- Encumbered unsecured loans to FI	Encumbered unsecured loans to financial institutions.
35	[Fed]-Loans to other parties maturing in 1year	Unencumbered loans with residual maturity less than a year to other counterparties i.e. Non financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns.	This set of assumptions specifies factors for loans to non financial parties on the basis of encumbrance and maturity.	Paragraph II-D-3(a) (vi), (vii) and K.106(6) and (7)
36	[Fed]-Encumbered loans to other parties maturing in 1year	Encumbered loans with residual maturity less than a year to other counterparties i.e. Non financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns.
37	[Fed]-Loans to other parties maturing beyond 1year	Unencumbered loans with residual maturity beyond one year to other counterparties i.e. Non financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns.
38	[Fed]-Encumbered loans to others maturing beyond 1year	Encumbered loans with residual maturity more than a year to other counterparties i.e. Non financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns.
39	[Fed]-Unencumbered residential mortgage loans	Unencumbered residential mortgage loans which would qualify for a) 50% or lesser risk weight as per U.S. Capital Rules b) higher than 50% risk weight as per U.S. Capital Rules	This set of assumptions specifies factors for residential mortgage loans on the basis of their risk weight.	Paragraph II-D-3(a) (vi),(vii) and K.106(6),(7)
40	[Fed]-Encumbered residential mortgage loans	Encumbered residential mortgage loans which would qualify for a) 50% or lesser risk weight as per U.S. Capital Rules b) higher than 50% risk weight as per U.S. Capital Rules
41	[Fed]-Operational balances with other banks	Operational portion of encumbered deposits held at other financial institutions, for operational purposes.	This set of assumptions specifies the factors for deposits held at other covered institutions.	Paragraph II-D-3(a) (v) and K.106(5
42	[Fed]-Non operational balances with other banks	Non operational portion of operational deposits held at other financial institutions.
43	[Fed]- Encumbered balances with other banks	Encumbered deposits held by the covered company at other financial institutions.
44	[Fed]-Non HQLA assets	Unencumbered securities which do not qualify as High Quality Liquid Assets(HQLA) under the LCR Rule	This set of assumptions specifies factors for unencumbered and encumbered assets which are not HQLA.	Paragraph II-D-3(a) (v) (vii) and K.106(5),(7)
45	[Fed]-Encumbered non HQLA assets	Encumbered securities which do not qualify as High Quality Liquid Assets(HQLA) under the LCR Rule
46	[Fed]- Derivative liabilities	Potential valuation changes for derivative liabilities	This set of assumptions specifies factors for Derivatives.	Paragraph 107(5)
47	[Fed]- NSFR Derivative liabilities	NSFR derivative liabilities, with consideration of variation margin posted.		Paragraph 107(c and d)
48	[Fed]- NSFR Derivative assets	NSFR derivative assets along with consideration of variation margin received as cash.
49	[Fed]-Credit and liquidity facilities extended to customers	Off balance sheet exposures- Irrevocable and conditionally revocable credit and liquidity facilities offered to clients by the bank	This assumption specifies factors for credit and liquidity facilities extended to customers.	Paragraph II-D-3(a) (ii) and K.106 (1)
50	[Fed]-Initial margin for derivatives	Initial margin provided by the covered company and the covered company's contributions to central counterparty (CCP) mutualized loss sharing arrangements.	This set of assumptions treat initial and variation margin placed and received against derivatives.	Paragraph 107(b-6)
51	[Fed]-Variation margin received	Variation margin received by the covered company whose RSF treatment is in accordance to the type of collateral received.		Paragraph 107(b)(4)
52	[Fed]-Commodities	Unencumbered commodities held by the covered company.	This set of assumptions specifies factors for commodities on the basis of encumbrance.	Paragraph II-D-3(a) (vii) and K.106(7)
53	[Fed]-Encumbered commodities	Encumbered commodities held by the covered company.