5.2 Business Assumptions

New business assumptions related to RSF are created to estimate the NSFR under a stressed condition.

All these new business assumptions have the following common assumption properties:

1. Assumption Category: Value Change
2. Assumption Sub Category: Required Stable Funding Factor
3. Based On: Sub Account Balance
4. Assumption Unit: Percentage

The business assumptions are as follows:

• Assumption Name: EBA NSFR RSF Assumption 1
• Assumption Description: Assets assigned a 0% RSF Factor
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-1 Assumption Parameter Selection - EBA NSFR RSF Assumption 1

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Cash Central Bank Reserves	NA	EHQLA	NA	0%
Debt Security	Central Bank	EHQLA	Less Than 6 Months	0%

• Assumption Name: EBA NSFR RSF Assumption 2A
• Assumption Description: Assets assigned a 5% RSF Factor – Securities issued by Sovereigns, Central Banks and MDBs
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-2 Assumption Definition - EBA NSFR RSF Assumption 2A

Assumption Definition
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Debt Security	Sovereigns, MDBs and Supranational Institutions	EHQLA	NA	5%
Debt Security	Central Bank	EHQLA	Greater Than or Equal to 6 Months	5%

• Assumption Name: EBA NSFR RSF Assumption 2B
• Assumption Description: Assets assigned a 5% RSF Factor – Other EHQLA Assets
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-3 Assumption Parameter Selection - EBA NSFR RSF Assumption 2B

Assumption Parameter Selection
LRM - Underlying Asset Level	LRM – NSFR Factor Status	Required Stable Funding Factor
EHQLA	Unassigned	5%

• Assumption Name: EBA NSFR RSF Assumption 3
• Assumption Description: Assets assigned a 10% RSF Factor
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-4 Assumption Parameter Selection - EBA NSFR RSF Assumption 3

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Party Type	LRM - Underlying Asset Level	LRM - Cash Flow Time Bucket	LRM - Re-Hypothecation Flag	Required Stable Funding Factor
Loans	Banks	EHQLA	Less Than 6 Months	Yes	10%
Loans	Banks	EHQLA	Less Than 6 Months	No	15%

• Assumption Name: EBA NSFR RSF Assumption 4
• Assumption Description: Assets assigned a 15% RSF Factor
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-5 Assumption Parameter Selection - EBA NSFR RSF Assumption 4

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Debt Security Covered Bond	Sovereign Central Banks PSEs MDBs and Supranational Institutions Corporate	HQLA	NA	15%
Loans	Banks	HQLA, Other Liquid Assets	Less Than 6 Months	15%

*Loans to Banks classified as EHQLA and qualifying for 15% RSF factor are included as part of business assumption 3.

• Assumption Name: EBA NSFR RSF Assumption 5A
• Assumption Description: Assets assigned a 50% RSF Factor – Loans to Financial Institutions and Central Banks
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-6 Assumption Parameter Selection - EBA NSFR RSF Assumption 5A

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Loans	Banks Central Banks	HQLA Other Liquid Assets	Between 6 to 12 Months	50%

• Assumption Name: EBA NSFR RSF Assumption 5B
• Assumption Description: Assets assigned a 50% RSF Factor – Encumbered HQLA
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-7 Assumption Parameter Selection - EBA NSFR RSF Assumption 5B

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM – Encumbrance Period Bands	LRM - Underlying Asset Level	Required Stable Funding Factor
LRM Standard Product Type	Between 6 to 12 Months	HQLA	50%

• Assumption Name: EBA NSFR RSF Assumption 5C
• Assumption Description: Assets assigned a 50% RSF Factor – RMBS and Corporate Debt Securities
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-8 Assumption Parameter Selection - EBA NSFR RSF Assumption 5C

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM - Basel Credit Rating	Required Stable Funding Factor
RMBS	NA	Other Liquid Assets	ECAI 1	50%
Debt Security	Corporate	Other Liquid Assets	ECAI 2 ECAI 3	50%

• Assumption Name: EBA NSFR RSF Assumption 5D
• Assumption Description: Assets assigned a 50% RSF Factor – Exchange Traded Equities
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-9 Assumption Parameter Selection - EBA NSFR RSF Assumption 5D

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM – Exchange Traded	Required Stable Funding Factor
Equity	Corporate	Other Liquid Assets	Yes	50%

• Assumption Name: EBA NSFR RSF Assumption 5E
• Assumption Description: Assets assigned a 50% RSF Factor – Operational Deposits
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-10 Assumption Parameter Selection - EBA NSFR RSF Assumption 5E

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Party Type	Required Stable Funding Factor
Operational Deposits Placed	Banks	50%

• Assumption Name: EBA NSFR RSF Assumption 5F
• Assumption Description: Assets assigned a 50% RSF Factor – Non-HQLA Loans

Table 4-11 Assumption Parameter Selection - EBA NSFR RSF Assumption 5F

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Issuer Type	LRM - Underlying Asset Level	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Loans	Corporate Retail SME Sovereigns PSEs	Other Liquid Assets	Less Than 1 Year	50%

• Assumption Name: EBA NSFR RSF Assumption 6A
• Assumption Description: Assets assigned a 65% RSF Factor – Residential Mortgages
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-12 Assumption Parameter Selection - EBA NSFR RSF Assumption 6A

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM – RML Qualifying Status	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Residential Mortgage	Yes	Greater than or Equal to 1 Year	65%

• Assumption Name: EBA NSFR RSF Assumption 6B
• Assumption Description: Assets assigned a 65% RSF Factor – Other unencumbered loans
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-13 Assumption Parameter Selection - EBA NSFR RSF Assumption 6B

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Party Type	LRM - Underlying Asset Level	LRM - Basel Credit Rating	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Loans	PSEs Corporate	Other Liquid Assets	ECAI 1	Greater than or Equal to 1 Year	65%
Loans	Sovereign Central Bank	Other Liquid Assets	ECAI 1 ECAI 2	Greater than or Equal to 1 Year	65%

• Assumption Name: EBA NSFR RSF Assumption 7A
• Assumption Description: Assets assigned an 85% RSF Factor - Loans
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-14 Assumption Parameter Selection - EBA NSFR RSF Assumption 7A

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Party Type	LRM - Underlying Asset Level	LRM - Basel Credit Rating	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Loans	PSEs Corporate	Other Liquid Assets Other Non-Liquid Assets	Below ECAI 1	Greater than or Equal to 1 Year	85%
Loans	Sovereign Central Bank	Other Liquid Assets	Below ECAI 2	Greater than or Equal to 1 Year	85%
Loans	Retail	NA	NA	Greater than or Equal to 1 Year	85%

• Assumption Name: EBA NSFR RSF Assumption 7B
• Assumption Description: Assets assigned an 85% RSF Factor – Gold and other precious metals
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-15 Assumption Parameter Selection - EBA NSFR RSF Assumption 7B

Assumption Parameter Selection
LRM - LRM Standard Product Type	Required Stable Funding Factor
Gold Silver Precious Metals	85%

• Assumption Name: EBA NSFR RSF Assumption 7C
• Assumption Description: Assets assigned an 85% RSF Factor – Debt Securities
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-16 Assumption Parameter Selection - EBA NSFR RSF Assumption 7C

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Fully Performing Assets	LRM - Underlying Asset Level	LRM – Exchange Traded	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Debt Security	Yes	Other Liquid Assets Other Non-Liquid Assets	NA	Greater than or Equal to 1 Year	85%

• Assumption Name: EBA NSFR RSF Assumption 7D
• Assumption Description: Assets assigned an 85% RSF Factor – Exchange Traded Equities
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-17 Assumption Parameter Selection - EBA NSFR RSF Assumption 7D

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Party Type	LRM - Underlying Asset Level	LRM – Exchange Traded	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Equity	Banks	Other Liquid Assets Other Non-Liquid Assets	Yes	Greater than or Equal to 1 Year	85%

• Assumption Name: EBA NSFR RSF Assumption 8A
• Assumption Description: Assets assigned a 100% RSF Factor – Encumbered Assets
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-18 Assumption Parameter Selection - EBA NSFR RSF Assumption 8A

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM – Encumbrance Period Bands	Required Stable Funding Factor
LRM Standard Product Type	Greater than or Equal to 1 Year	100%

• Assumption Name: EBA NSFR RSF Assumption 8B
• Assumption Description: Assets assigned a 100% RSF Factor – Loans to Financial Institutions
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-19 Assumption Parameter Selection - EBA NSFR RSF Assumption 8B

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Standard Party Type	LRM - Cash Flow Time Bucket	Required Stable Funding Factor
Loans	Banks	More than 1 Year	100%

• Assumption Name: EBA NSFR RSF Assumption 8C
• Assumption Description: Assets assigned a 100% RSF Factor – Non-Performing Loans
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-20 Assumption Parameter Selection - EBA NSFR RSF Assumption 8C

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM - Fully Performing Assets	Required Stable Funding Factor
Loans	No	100%

• Assumption Name: EBA NSFR RSF Assumption 8D
• Assumption Description: Assets assigned a 100% RSF Factor – Default assignment for all other assets
• Filter On: Amount Type = EOP Balance (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-21 Assumption Parameter Selection - EBA NSFR RSF Assumption 8D

Assumption Parameter Selection
LRM – NSFR Factor Status	Required Stable Funding Factor
Unassigned	100%

• Assumption Name: EBA NSFR RSF Assumption 9A
• Assumption Description: RSF Factor Assignment for Off-Balance Sheet Assets – Credit Facilities
• Filter On: Amount Type = Undrawn Amount (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-22 Assumption Parameter Selection - EBA NSFR RSF Assumption 9A

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	LRM- Unconditionally Cancellable Limit Indicator	Required Stable Funding Factor
Line of Credit	No	5%
Line of Credit	Yes	0%

• Assumption Name: EBA NSFR RSF Assumption 9B
• Assumption Description: RSF Factor Assignment for Off-Balance Sheet Assets – Trade Finance
• Filter On: Amount Type = Undrawn Amount (this can be added as a filter or using another source hierarchy on Amount Type dimension)

Table 4-23 EBA NSFR RSF Assumption 9B

Assumption Parameter Selection
LRM - LRM Standard Product Type (LEVEL 1)	Required Stable Funding Factor
Trade Finance	5%

After all the RSF factors based on business assumptions are run, the NSFR is calculated based on the following formula: