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Definition of Available Stable Funding (ASF)

C 33/2015 GUI Effective from 1/12/2015
  1. 148) The ASF is determined by assigning weighted values to various funding sources depending on the nature of the source, its contractual maturity and the propensity of funding providers to withdraw their funding. This includes such things as call options and the ability of the bank to refuse the exercising of the call. Only those proportions of the cash flow actually maturing beyond the maturity thresholds as prescribed by the ratio can be included.
  2. 149) The cash flows for derivative contracts will be assessed at the replacement cost where the contract has a negative value. If a netting agreement exists then this can be taken into account and the netted position can be used. Collateral posted as variation margin can also be allowed for.
  3. 150) Liabilities and capital receiving a 100% ASF factor are:
    1. a) The total amount of regulatory capital excluding the proportion of Tier 2 instruments with a residual maturity of less than one year
    2. b) Any capital instrument not included in (a) that has an effective residual maturity of one year or more (excludes those with explicit or embedded option that negates this condition)
    3. c) The total amount of secured and unsecured borrowings and liabilities with effective residual maturities of one year or more.
  4. 151) Liabilities receiving a 95% ASF factor:
  5. These comprise ‘stable’ demand deposits as per the LCR (paragraphs 107 and 108) as well as retail term deposits as per the LCR with residual maturities of less than one year.
  6. 152) Liabilities receiving a 90% ASF factor
  7. These comprise ‘less stable’ demand deposits as defined in the LCR (paragraph 109) as well as retail term deposits as per the LCR with residual maturities of less than one year
  8. 153) Liabilities receiving a 50% ASF factor
    1. a) Funding (secured and unsecured) with a residual maturity of less than one year provided by non-financial corporate customers
    2. b) Operational deposits (as defined in the LCR paragraph 114)
    3. c) Funding with a residual maturity of less than one year from sovereigns, public sector entities and multilateral and development banks and
    4. d) Funding from other sources not included above with a residual maturity between 6 months and one year.
  9. 154) Liabilities receiving a 0% ASF factor

    These comprise everything else with a few technical exceptions including net derivative liabilities (refer BCBS document paragraph 25 and paragraph 149 above)