5.4.2 Required Stable Funding Factor
This section enlists all the preseeded assumptions acting on assets and off-balance sheet items that receive an RSF factor.
Table 4-25 Preconfigured ASF 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-Coins and banknotes | Coins, banknotes, cash, and restricted cash held by the bank. | This assumption specifies factor for Coins, banknotes, cash, and restricted cash held by the bank. |
BIS: Paragraphs 36(a) EBA: Section 2.2.6 |
| 2 | EBA-Central Bank Reserves | All central bank reserves, including, required reserves and excess reserves. | This assumption specifies factor for central bank reserves. |
BIS: Paragraphs 36(b) EBA: Section 2.2.6 |
| 3 | EBA-Unencumbered claims on central banks | Unencumbered loans and other claims on central banks. | This assumption specifies Claims on central banks with residual maturities less than 6 months. This assumption specifies Loans to central banks and financial institutions with residual maturity between 6 months to 1 year. | BIS: Paragraphs 31, 36(c), 40(c), 43(a) 43© EBA: Section 2.2.6 |
| 4 | EBA-Encumbered claims on central banks | Encumbered loans and other claims on central banks. | This assumption specifies Claims on central banks with residual maturities less than 6 months. This assumption specifies Loans to central banks and financial institutions with residual maturity between 6 months to 1 year. | BIS: Paragraphs 31, 36(c), 40(c), 43(a) 43© EBA: Section 2.2.6 |
| 5 | EBA-Loans to financial instituitions secured by L1 asset | Unencumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. | This assumption specifies unencumbered loans to financial institutions with residual maturities of less than 6 months, where the loan is secured against Level 1 asset and where the bank can freely rehypothecate the received collateral for the life of the loan. | BIS: Paragraphs 31, 39(b), 40(c), 43(a), 43(c |
| 6 | EBA-Encumbered loans to financial institutions-L1 | Encumbered loans to financial institutions where the loan is secured against Level 1 assets as defined in the LCR. | This assumption specifies unencumbered loans to financial institutions with residual maturities of less than 6 months, where the loan is secured against Level 1 asset and where the bank can freely rehypothecate the received collateral for the life of the loan. | BIS: Paragraphs 31, 39(b), 40(c), 43(a), 43(c |
| 7 | EBA-Loans to financial institutions secured by other asset | Unencumbered loans to financial institutions where the loan is secured against assets belonging to levels other than Level 1, as defined in the LCR. | This assumption specifies all other secured loans to financial institutions. | BIS: Paragraphs 31, 39(b), 40(c), 43(a), 43(c |
| 8 | EBA-Encumbered loans to financial institutions-other asset | Encumbered loans to financial institutions where the loan is secured against assets belonging to levels other than Level 1, as defined in the LCR. | This assumption specifies all other secured loans to financial institutions. | BIS: Paragraphs 31, 39(b), 40(c), 43(a), 43(c |
| 9 | EBA-Unsecured loans to financial institutions | Unencumbered unsecured loans to financial institutions. | This assumption specifies all other secured loans to financial institutions. | BIS: Paragraphs 31, 39(b), 40(c), 43(a), 43(c |
| 10 | EBA-Encumbered unsecured loans to financial institutions | Encumbered unsecured loans to financial institutions. | This assumption specifies all other secured loans to financial institutions. | BIS: Paragraphs 31, 39(b), 40(c), 43(a), 43(c |
| 11 | EBA-Loans to non financial parties | Unencumbered loans with residual maturity less than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. | This assumption specifies loans to non-financial corporate, retail, and small business customers, sovereigns, and PSE with a residual maturity of less than 1 year. | BIS: Paragraphs 31, 40(e), 41, 43(a) |
| 12 | EBA-Encumbered loans to non financial parties | Encumbered loans with residual maturity less than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. | This assumption specifies loans to non-financial corporate, retail, and small business customers, sovereigns, and PSE with a residual maturity of less than 1 year. | BIS: Paragraphs 31, 40(e), 41, 43(a) |
| 13 | EBA-Loans maturing beyond 1year to others | Unencumbered loans with residual maturity more than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. | This assumption specifies other unencumbered loans not included in the above categories, with a residual maturity of 1 year or more that would qualify for a 35% or lower weight under the Basel 2 approach. | BIS: Paragraphs 41 (b), 42 (b), 43(a) |
| 14 | EBA-Encumbered loans maturing beyond 1year to others | Encumbered loans with residual maturity more than a year to other counterparties that is Non-financial corporates, retail and small business customers, sovereigns, Public sector enterprises, and sovereigns. | This assumption specifies other unencumbered loans not included in the above categories, with a residual maturity of 1 year or more that would qualify for a 35% or lower weight under the Basel 2 approach. | BIS: Paragraphs 41 (b), 42 (b), 43(a) |
| 15 | EBA-Non HQLA assets | Unencumbered securities, with maturity less than 1 year, which do not qualify as High quality liquid assets under the EBA DA LCR Rule. | This assumption specifies all other non-HQLA not included in the above categories that have a residual maturity of less than 1 year. | BIS: Paragraphs 31, 42(c), 43(a) |
| 16 | EBA-Non HQLA assets maturing beyond 1 year | Unencumbered securities, with a maturity greater than 1 year which do not qualify as HQLA under the EBA DA LCR Rule. |
This assumption specifies all other non HQLA not included in the above categories that have a residual maturity of greater than 1 year. |
BIS: Paragraphs 31, 42(c), 43(a) |
| 17 | EBA-Encumbered non HQLA assets | The encumbered portion of securities, with maturity less than 1 year which do not qualify as High quality liquid assets under the EBA DA LCR Rule. | This assumption specifies all other non-HQLA not included in the above categories that have a residual maturity of less than 1 year. | BIS: Paragraphs 31, 42(c), 43(a) |
| 18 | EBA-Encumbered non HQLA assets maturing beyond 1 year | The encumbered portion of securities, with a maturity greater than 1 year which does not qualify as HQLA under the EBA DA LCR Rule. | This assumption specifies all other non-HQLA not included in the above categories that have a residual maturity of greater than 1 year. | BIS: Paragraphs 31, 42(c), 43(a) |
| 19 | EBA-Other Level 1 assets | Unencumbered assets that qualify for inclusion in Level 1 of High quality liquid assets as defined in the EBA DA LCR. | This assumption specifies factor for Level 1 assets excluding assets receiving a 0% RSF as in paragraph 36. | BIS: Paragraphs 37, 40(b) |
| 20 | EBA-Level 2A and 2B assets | Unencumbered assets that qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the EBA DA LCR. | This assumption specifies the factor for Level 2A assets and Level 2B assets. | BIS: Paragraphs 37, 40(b) |
| 21 | EBA-Encumbered Level 1 assets | The encumbered portion of assets that qualify for inclusion in Level 1 of High quality liquid assets as defined in the EBA DA LCR. | This assumption specifies factor for Level 1 assets excluding assets receiving a 0% RSF as in paragraph 36. | BIS: Paragraphs 31, 37, 40(b), 43(a) |
| 22 | EBA-Encumbered Level 2A and 2B assets | The encumbered portion of assets that qualify for inclusion in Level 2A and 2B of High quality liquid assets as defined in the EBA DA LCR. | This assumption specifies the factor for Level 2A assets and Level 2B assets. | BIS: Paragraphs 31, 37, 40(b), 43(a) |
| 23 | EBA-Operational deposits with other banks | Operational portion of Unencumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. | This assumption specifies unencumbered Deposits held at other financial institutions for operational purposes that are subject to the 50% ASF treatment. | BIS: Paragraph 40(d) |
| 24 | EBA-Non operational deposits with other banks | The non-operational portion of Unencumbered deposits held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. | This assumption specifies non-operational deposits held at financial institutions | BIS: Paragraph 40(d) |
| 25 | EBA-Encumbered deposits with other banks | Encumbered deposits, held at other financial institutions, for operational purposes and are subject to the 50% ASF treatment. | This assumption specifies the factor for encumbered Operational deposits at financial institutions. | BIS: Paragraph 31, 40(d),43(a) |
| 26 | EBA-Residential loans | Unencumbered residential mortgage loans and residential guaranteed 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. | This assumption specifies factors for residential mortgages with a residual maturity of 1 year or more that would qualify for a 35% or lesser risk weight as per Basel 2. | BIS: Paragraphs 41 a and 40 e |
| 27 | EBA-Encumbered residential loans | Encumbered residential mortgage loans and residential guaranteed 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. | This assumption specifies factors for residential mortgages with a residual maturity of 1 year or more that would qualify for a 35% or lesser risk weight as per Basel 2. | BIS: Paragraphs 41 a and 40 e |
| 28 | EBA-Commodities | Unencumbered physically traded commodities, including gold. | This assumption specifies factors for physically traded commodities. | BIS: Paragraphs 31, 42(d), 43(a) |
| 29 | EBA-Encumbered commodities | Encumbered physically traded commodities including gold. | This assumption specifies factors for physically traded commodities. | BIS: Paragraphs 31, 42(d), 43(a) |
| 30 | EBA-Trade date receivables | 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. | This assumption specifies the factor for Trade date receivables. | BIS: Paragraphs 36(d) |
| 31 | EBA-Credit and liquidity facilities to client | Off-balance sheet exposures- Irrevocable, revocable and conditionally revocable credit and liquidity facilities offered to any clients by the bank. | This assumption specifies the factor for credit and liquidity facilities offered by the bank. | BIS: Paragraph 47 |
| 32 | EBA-Guarantees and letters of credit | Off-balance sheet exposures- Guarantees and letters of credit. | This assumption specifies the factor for Guarantees and Letter of Credit. |
BIS: Paragraph 47 EBA: Section 6.8 |