6.3.1.2 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 5-4 Pre-seeded assumptions
| Sl. No. | Assumption Name | Assumption Description | Regulatory Requirement Addressed | Regulatory Reference RBI/2017-18/178 DBR.BP.BC.No.106/21.04.098/2017-18 |
|---|---|---|---|---|
| 1 | RBI- Coins and banknotes | [RBI]: 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 - 9.2 A |
| 2 | RBI- Central bank reserves | [RBI]: 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 0% RSF factor to all central bank reserves. | Paragraph - 9.2 B |
| 3 | RBI- Unencumbered claims on central banks | [RBI]: Unencumbered loans and other claims on central banks | The RSF factors applicable to fully performing unencumbered loans and claims on central banks, with remaining maturity of less than 1 year, are pre-defined as part of this assumption. This assumption applies 0%, 50% and 100% RSF factors to the loans and claims on central banks with remaining maturity of less than 6 months, between 6 months and 1 year, and 1 year or more respectively. | Paragraphs - 9.2 C, 9.6 C, 9.9 C |
| 4 | RBI- Encumbered claims on central banks | [RBI]: Encumbered loans and other claims on central banks | The RSF factors applicable to fully performing encumbered loans and claims on central banks, maturing within a year and encumbrance period 1 year or more, 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. | Paragraph - 10.4 |
| 5 | RBI-Unenc loans to fin insti secured by level 1 asset | [RBI]: 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 given to financial institutions secured by a level 1 asset, with residual maturity less than 1 year, 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 - 9.4, 9.5 B, 9.6 C, 9.9 C |
| 6 | RBI-Encum loans to fin insti secured by level 1 asset | [RBI]: 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 encumbered loans given to financial institutions secured by a level 1 asset, with residual maturity less than 1 year, are pre-defined as a part of this assumption. The assumption applies relevant RSF factors on the encumbered secured loans based on the encumbrance period and residual maturity. The Level 1 asset received as collateral can further be re-hypothecated to raise funds. | Paragraphs - 9.6 B, 9.9 A, 10.4 |
| 7 | RBI- Unenc loans to fin insti secured by Non-level 1 assets | [RBI]: 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 - 9.5 B, 9.6 C, 9.9 C |
| 8 | RBI- Encum loans to fin insti securd by Non-level 1 assets | [RBI]: 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 a 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 relevant RSF factor on the encumbered secured loans based on the residual maturity and encumbrance period of the loan. | Paragraphs - 9.9 A, 10.4 |
| 9 | RBI- Unenc unsecured loans to financial instituitions | [RBI]: Unencumbered unsecured loans excluding overdrafts to financial institutions. | The RSF factors applicable on the unencumbered unsecured loans given to financial institutions, with residual maturity less than 1 year, 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 - 9.5 B, 9.6 C, 9.9 C |
| 10 | RBI- Enc unsecured loans to financial instituitions | [RBI]: Encumbered unsecured loans to financial institutions. | The RSF factors applicable on the encumbered unsecured loans given to financial institutions, with residual maturity less than 1 year, 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 - 9.9 A, 10.4 |
| 11 | RBI- Unenc loans to others, mat less than 1yr | [RBI]: 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. | The RSF factors applicable to fully performing unencumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns, with remaining maturity of less than 1 year, are per defined as part of this assumption. This assumption applies 50% RSF factors on the loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with remaining maturity of less than 1 year. | Paragraphs - 9.6 E, 9.9 B, 10.4 |
| 12 | RBI- Enc loans to others, mat less than 1yr | [RBI]: 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. | The RSF factors applicable to fully performing encumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns, with remaining maturity of less than 1 year, are per defined as part of this assumption. This assumption applies 50% RSF factors on the encumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with remaining maturity of less than 1 year. | Paragraph - 10.4 |
| 13 | RBI- Unenc loans to others, mat more than 1 yr | [RBI]: Unencumbered 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. | The RSF factors applicable to fully performing unencumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns, with remaining maturity of more than 1 year with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. This assumption applies a 65 % RSF factors on the loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with remaining maturity of more than 1 year and risk weight more than or equal to 35%. It applies a RSF factor of 85% on the loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns with remaining maturity of more than 1 year and risk weight greater than 35%. | Paragraphs - 9.7 B, 9.8 A |
| 14 | RBI - Enc Loans to others, mat more than 1yr | [RBI]: 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. | The RSF factors applicable to fully performing encumbered loans to non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises and sovereigns, with remaining maturity of more than 1 year with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. This assumption applies relevant RSF factors on the encumbered loans based on the residual maturity, encumbrance period and the risk weigh associated to the loan. | Paragraphs - 9.9 A, 10.4 |
| 15 | RBI- Unenc non HQLA assets | [RBI]:Unencumbered securities, with maturity less than 1 year, which do not qualify as High quality liquid assets under the 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 | Paragraph - 9.6 E |
| 16 | RBI- Unenc non HQLA securities mat greater than 1yr | [RBI]:Unencumbered securities, with maturity greater than 1 year which do not qualify as HQLA under the LCR Rule | The RSF factors applicable to unencumbered securities, 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 an 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. | Paragraph - 9.8 C |
| 17 | RBI- Enc non HQLA assets | [RBI]:Encumbered portion of securities, with maturity less than 1 year which do not qualify as High quality liquid assets under the 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 a 50% RSF factor on encumbered portion of the securities, with remaining maturity of less than 1 year, encumbrance period of less than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. It applies a 100% RSF factor on encumbered portion of the securities, with remaining maturity of less than 1 year, encumbrance period of 1 year or more and which do not qualify as High quality liquid assets under the LCR Rule. | Paragraphs - 9.6 B, 9.9 A |
| 18 | RBI- Enc non HQLA assets mat greater than 1yr | [RBI]:Encumbered portion of securities, with maturity greater than 1 year which do not qualify as HQLA under the LCR Rule | The RSF factors applicable to encumbered portion of the securities, 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 encumbered portion of the securities, with remaining maturity of 1 year or more, encumbrance period of less than 1 year and which do not qualify as High quality liquid assets under the LCR Rule. It applies a 100% RSF factor on encumbered portion of the securities, with remaining maturity of 1 year or more, encumbrance period of 1 year or more and which do not qualify as High quality liquid assets under the LCR Rule. | Paragraphs - 9.9 A and 10.4 |
| 19 | RBI-Unencumbered level 1 assets | [RBI]: 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. | Paragraph - 9.3 |
| 20 | RBI-Unencumbered level 2A and 2B assets | [RBI]: Unencumbered assets which qualify for inclusion in Level 2A and 2B 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 and a RSF factor of 50% on the unencumbered Level 2B assets. | Paragraphs - 9.5 A. 9.6 A |
| 21 | RBI-Encumbered level 1 assets | [RBI]: 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 50% and 100% RSF factors on the encumbered portion of Level 1 assets, with encumbrance period of less than 1 year and1 year or more respectively. | Paragraphs - 9.3, 9.6 B, 9.9 A, 10.4 |
| 22 | RBI- Encumbered level 2 assets | RBI- Encumbered level 2 assets | The RSF factors applicable to encumbered portion of 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 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 and1 year or more respectively. It applies 50% and 100% RSF factors on the encumbered portion of Level 2B assets, with encumbrance period of less than 1 year and1 year or more respectively. | Paragraphs - 9.6 A and B, 9.9 A and 10.4 |
| 23 | RBI-Unencumbered operational balances with other banks | [RBI]: 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 fulfill the operational requirements, with remaining maturity of less than 1 year, 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 and1 year or more respectively. | Paragraph - 9.6 D |
| 24 | RBI- Unencumbered non operational balances with other banks | [RBI]: 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 to fulfill the operational requirements, with remaining maturity of less than 1 year, 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 and1 year or more respectively. | Paragraphs - 9.6 D, BIS FAQ July 2016, point 32 |
| 25 | RBI-Unencumbered residential mortgage loans | [RBI]: 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 and1 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 and1 year or more respectively, with risk weights greater than 35%. | Paragraphs - 9.7 A and 9.7 B |
| 26 | RBI-Encumbered residential mortgage loans | [RBI]: 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 fully performing encumbered residential mortgage loans, with standardized risk weights under Basel 2 approach, are per defined as part of this assumption. This assumption applies RSF factors of 50% and 65 % on the encumbered residential mortgage loans, with remaining maturity of less than 1 year and greater than equal to 1 year respectively, encumbrance period is less than 1 year and risk weight is less than or equal to 35%. It applies a RSF factor of 100% on the encumbered residential mortgage loans with remaining maturity of more than 1 year, encumbrance period of more than 1 year and risk weight is more than 35%. | Paragraphs - 9.9 A and 10.4 |
| 27 | RBI- Unencumbered commodities | [RBI]: Unencumbered physically traded commodities, including gold. | The RSF factor applicable to unencumbered balance of physically traded commodities including gold, are pre-defined as a part of this assumption. The assumption applies an 85% RSF factor on the unencumbered balance of the commodities. | Paragraph - 9.8 D |
| 28 | RBI- encumbered commodities | [RBI]: Encumbered physically traded commodities including gold. | The RSF factor applicable to encumbered balance of physically traded commodities including gold, are pre-defined as a part of this assumption. The assumption applies 85% and 100% RSF factors on the encumbered balance of the commodities, with encumbrance period of less than 1 year and 1 year or more respectively. | Paragraph - 10.4 |
| 29 | RBI- Trade date receivables | [RBI]: 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 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, are pre-defined as part of this assumption. The assumption applies 0% RSF factor to the trade receivables, which expected to settle within settlement cycle. | Paragraphs - 9.2 D |
| Off-Balance Sheet | ||||
| 1 | RSF OBS- Credit and liquidity facilities to client | [RBI]: Off balance sheet exposures- Irrevocable, revocable and conditionally revocable credit and liquidity facilities offered to any clients by the bank | The RSF factor applicable to irrevocable, revocable and conditionally revocable credit and liquidity facilities offered to any clients by the bank, is pre-defined as part of this assumption. The assumption applies a 5% RSF factor to the undrawn amount of irrevocable, revocable and conditionally revocable credit and liquidity facilities. | Paragraph - 9.1 |
| 2 | RBI- Guarantees and letters of credit | [RBI]: Off balance sheet exposures- Guarantees and letters of credit | The RSF factor applicable to the Guarantees and Letters of credit offered by the bank, is pre-defined as part of this assumption. The assumption applies a 5% RSF factor to the EOP balance of the Guarantees and Letters of credit. | Paragraph - 9.1 |
| 3 | RBI-Non contractual obligations type | [RBI]: Non contractual obligations type such as potential requests for debt repurchases, managed funds etc | The RSF factor applicable to the non-contractual obligations type such as potential requests for debt repurchases, managed funds etc., is pre-defined as part of this assumption. The assumption applies 5% RSF factor to the aforesaid non-contractual obligations amount. | Paragraph - 9.1 |
| 4 | RBI-Non contractual obligations | [RBI]: Non contractual obligations type such as potential requests for debt repurchases, managed funds etc | The RSF factor applicable to the non-contractual obligations for structured products such as Variable rate notes (VRDNs), Adjustable rate notes (ARDNs) etc. offered by the bank, is pre-defined as part of this assumption. The assumption applies 5% RSF factor to the EOP balance for aforesaid non-contractual obligations. | Paragraph - 9.1 |