5.4.1 Regulation Addressed through Business Assumptions
The preconfigured NSFR assumptions are listed in the following table:
Table 4-24 Preconfigured NSFR Assumptions
| Sl. No. | Name | Description | Regulatory Requirement Addressed | Regulatory Reference BIS: BCBS 295 Oct 2014 EBA CRR Report: EBA/Op/2015/22 |
|---|---|---|---|---|
| 1 | EBA-Capital items DTL and minority interest | Gross tier 1, additional tier 1, tier 2 capital, Deferred tax liabilities, and minority interest. | This assumption specifies 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. This also includes DTL and Minority interest. |
BIS: Paragraphs 21 a and b EBA: Section 2.2.5 |
| 2 | EBA-Stable retail deposits | Stable and highly stable deposits as defined in the LCR from retail customers with a remaining maturity of less than 1 year. | This assumption specifies "Stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers. |
BIS: Paragraphs 22 EBA: Section 2.2.5 |
| 3 | EBA-Stable retail deposits CF | Stable and highly stable deposits as defined in the LCR from retail customers with a remaining maturity of more than 1 year and cash flow maturity of less than 1 year. | This assumption specifies "Stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers. |
BIS: Paragraphs 22 EBA: Section 2.2.5 |
| 4 | EBA-Less stable retail deposits | Less stable deposits as defined in the LCR from retail customers with a remaining maturity of less than 1 year. | This assumption specifies "Less Stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers. |
BIS: Paragraphs 23 EBA: Section 2.2.5 |
| 5 | EBA-Less stable retail deposits CF | Less stable deposits as defined in the LCR from retail customers with a remaining maturity of more than 1 year and cash flow maturity of less than 1 year. | This assumption specifies "Less Stable" (as defined in the LCR) demand and/or term deposits from retail and small business customers. |
BIS: Paragraphs 23 EBA: Section 2.2.5 |
| 6 | EBA-Operational deposits from non financial corporates | Unsecured operational deposits from non-financial corporates with deposit maturity less than 1 year. | The ASF factor to be applied on unsecured funding from non-financial corporates of which is an operational deposit (as defined in the LCR). | BIS: Paragraphs 24 a and b EBA: Section 2.2.5 |
| 7 | EBA-Operational deposits from non financial corporates CF | Unsecured operational deposits from non-financial corporates (NFC) with deposit maturity more than 1 year and cash flow maturity less than 1 year. | This assumption specifies unsecured funding from non-financial corporates of which is an operational deposit (as defined in the LCR. | BIS: Paragraphs 24 a and b EBA: Section 2.2.5 |
| 8 | EBA-Non operational deposits from non financial corporates | Unsecured non-operational deposits from non-financial corporates with deposit maturity less than 1 year. This includes a) entire portion of non-operational deposits. b) non-operational part of operational deposits. | This assumption specifies unsecured funding from non-financial corporates of which is a non-operational deposit (as defined in the LCR). | BIS: Paragraphs 24 a and b EBA: Section 2.2.5 |
| 9 | EBA-Non operational deposits - non financial corporates CF) | Unsecured non-operational funding from non-financial corporates (NFC) with deposit maturity more than 1 year and cash flow maturity less than 1 year. | This assumption specifies unsecured funding from the non-financial corporate of which is a non-operational deposit (as defined in the LCR). | BIS: Paragraphs 24 a and b EBA: Section 2.2.5 |
| 10 | EBA-Other funding from non financial corporates. | Unsecured funds that are not deposited from non-financial corporates with account maturity less than 1 year. | This assumption specifies unsecured funding from the non-financial corporate of which are not deposits. | BIS: Paragraphs 24 a and b EBA: Section 2.2.5 |
| 11 | EBA-Other funding from non financial corporates CF | Unsecured funds that are not deposited from corporates (financial and non-financial) with account maturity more than 1 year, but cash flow maturity less than 1 year. | This assumption specifies unsecured funding from non-financial corporates of which are not deposits. | BIS: Paragraphs 24 a and b EBA: Section 2.2.5 |
| 12 | EBA-Operational deposits from PSE and others | Unsecured operational deposit (UOD) funding from Central banks, sovereigns, Public sector entities (PSE), Multilateral development banks (MDB), and National development banks (NDB) with maturity less than 1 year. | This assumption specifies the unsecured funding from central banks and other parties of which is an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 13 | EBA-Operational deposits from PSE and others CF | Unsecured operational deposit funding from central bank (CB), Public sector enterprises (PSE), National development bank (NDB), Multilateral development bank (MDB) and sovereigns with a deposit maturity of more than 1 year, and cash flow maturity of less than 1 year. | This assumption specifies the unsecured funding from central banks and other parties of which is an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 14 | EBA-Non operational deposits from PSE and others | Unsecured non-operational (UnOD) deposit funding from Central Banks, sovereigns, Public sector entities (PSE), Multilateral development banks (MDB), and National development banks (NDB) with maturity less than 1 year. | This assumption specifies unsecured funding from central banks and other parties of which is a non-operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 15 | EBA-Non operational deposits from PSE and others CF | Unsecured non-operational deposit funding from central bank (CB), Public sector enterprises (PSE), National development bank (NDB), Multilateral development bank (MDB) and sovereigns with a deposit maturity of more than 1 year, and cash flow maturity of less than 1 year. | This assumption specifies unsecured funding from central banks and other parties of which is a non-operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 16 | EBA-Unsecured other funding from PSE and others | Unsecured other funding (UnOth) from Central banks, sovereigns, Public sector entities (PSE), Multilateral development banks (MDB), and National development banks (NDB) with maturity less than 1 year. | This assumption specifies unsecured funding from central banks and other parties of which are not deposits. |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 17 | EBA-Unsecured other funding from PSE and others CF | Unsecured other funding (non-deposits) from central bank (CB), Public sector enterprises (PSE), National development bank (NDB), Multilateral development bank (MDB) and sovereigns with a deposit maturity of more than 1 year, and cash flow maturity of less than 1 year. | This assumption specifies unsecured funding from central banks and other parties of which are not deposits. |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 18 | EBA-Operational deposits from financial institutions | Unsecured operational deposit funding from financial corporates with a remaining maturity of less than 1 year. | This assumption specifies unsecured funding from financial corporates and financial institutions of which is an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 19 | EBA-Operational deposits from other entities | Unsecured operational deposit funding from all other legal entities(LE) with a remaining maturity of less than 1 year. | This assumption specifies unsecured funding from all other entities of which is an operational deposit (as defined in the LCR). | BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 20 | EBA-Operational deposits from financial instituitions CF | Unsecured operational deposit funding from financial corporates with a remaining account maturity of more than 1 year, but cash flows maturing less than 1 year. | This assumption specifies unsecured funding from financial corporates and financial institutions of which is an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 21 | EBA-Operational deposits from other entities CF | Unsecured operational deposit funding from all other legal entities(LE) with a remaining maturity more than 1 year, but cash flows maturing in less than 1 year. | This assumption specifies unsecured funding from all other entities of which is an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 22 | EBA-Non operational deposits from financial institutions | Unsecured non-operational deposit funding from financial corporates with a remaining maturity of less than 1 year. | This assumption specifies unsecured funding from financial corporates and financial institutions of which is not an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 23 | EBA-Non operational deposits from other entities | Unsecured non-operational deposit funding from all other legal entities(LE) with a remaining maturity of less than 1 year. | This assumption specifies unsecured funding from all other entities of which is not an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 24 | EBA-Non operational deposits-financial instituitions CF | Unsecured non-operational deposit funding from financial corporates with a remaining account maturity of more than 1 year, but cash flows maturing less than 1 year. | This assumption specifies unsecured funding from financial corporates and financial institutions of which is not an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 25 | EBA-Non operational deposits from other entities CF | Unsecured non-operational deposit funding from all other legal entities(LE) with a remaining maturity more than 1 year, but cash flows maturing in less than 1 year. | This assumption specifies unsecured funding from all other entities of which is not an operational deposit (as defined in the LCR). |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 26 | EBA-Unsecured funding from financial instituitions | Unsecured other funding from financial corporates with a remaining maturity of less than 1 year. | This assumption specifies unsecured funding from financial corporates and financial institutions which are other than deposits. |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 27 | EBA-Unsecured funding from other entities | Unsecured other funding from other legal entities (LE) with a remaining maturity of less than 1 year. | This assumption specifies unsecured funding from all other legal entities which are other than deposits. |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 28 | EBA-Unsecured funding from financial instituitions CF | Unsecured funds that are not deposits from corporates (financial and non-financial) with account maturity more than 1 year, but cash flow maturity less than 1 year. | This assumption specifies unsecured funding from all other legal entities which are other than deposits. |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 29 | EBA-Unsecured funding from other entities CF | Unsecured other funding from all other legal entities(LE) with a remaining maturity more than 1 year, but cash flows maturing in less than 1 year. | This assumption specifies unsecured funding from all other legal entities which are other than deposits. |
BIS: Paragraphs 24 (d) and 25 (a) EBA: Section 9.3.1 |
| 30 | EBA-Secured Funding from PSE and others | Secured funding from sovereigns, Public sector enterprises (PSE), National development banks (NDB), Multilateral development banks (MDB) with a residual maturity of less than a year. | This assumption specifies the factor for secured deposits from PSE, MDB, NDB, sovereigns, central banks, and other parties. |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 31 | EBA-Secured Funding from other parties | Secured funding with a residual maturity of less than a year. | This assumption specifies the factor for secured deposits from parties other than PSE, MDB, NDB, Retail, SME, and Corporates. |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 32 | EBA-Secured Funding from Corporates | Secured deposits and other liabilities from financial and non-financial corporates with maturity less than a year. | This assumption specifies the factor for secured deposits from financial and non-financial corporates. |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 33 | EBA-Secured Funding from PSE and others CF | Secured funding from sovereigns, Public sector enterprises (PSE), National development banks (NDB) and Multilateral development banks (MDB) where residual maturity is greater than a year and cash flows falling within a year. | This assumption specifies the factor for secured deposits from PSE, MDB, NDB, sovereigns, central banks, and other parties. |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 34 | EBA-Secured Funding from other parties CF | Secured funding where residual maturity is greater than a year and cash flows are falling within a year. | This assumption specifies the factor for secured deposits from parties other than PSE, MDB, NDB, Retail, SME, and Corporates |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 35 | EBA-Secured deposits from wholesale SME | Secured deposits from Small and medium enterprises (SME) are treated as wholesale. | This assumption specifies the factor for secured deposits from SME treated as Wholesale. |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 36 | EBA-Secured Funding from Corporates CF | Secured deposits and other liabilities from financial and non-financial corporates with residual maturity more than a year and cash flows falling within one year. | This assumption specifies the factor for secured deposits from financial and non-financial corporates. |
BIS: Paragraphs 21 c, 24 and 25 (a) EBA: Section 9.3.1 |
| 37 | EBA-Trade date payables | Trade date payables 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. | This assumption specifies the factor for trade date payables. | BIS: Paragraphs 25 (d) EBA: Section 9.3.1 |
| 38 | EBA-Liabilities with open maturity | Secured deposits and all other borrowings and which do not have a stated maturity. | This assumption specifies factor for liabilities without a stated maturity. | BIS: Paragraphs 25 (b) EBA: Section 9.3.1 |
| 39 | EBA-Liabilities with maturities beyond 1 year | Borrowings and liabilities with residual maturities and cash flows falling beyond 1 year. | This assumption specifies the total amount of secured and unsecured borrowings and liabilities (including term deposits) with effective residual maturities of one year or more (Catch all for cash flows beyond 1 year). | BIS: Paragraphs 21 c |