155)The amount of required stable funding is measured based on the broad characteristics of the liquidity risk profile of an institutions assets and OBS exposures. The calculation first assigns a carrying value of the asset to the prescribed categories and then multiplies this by the required RSF factor. The total RSF is the sum of the weighted amounts for both on and off balance sheet exposures.
156)The rationale behind the RSF factors is that they approximate the amount of a particular asset that would have to be funded, either because it will (or is likely to be) rolled over and could not be monetized either by sale or as collateral, over the course of one year without significant expense. These amounts have to be supported by stable funding.
157)Assets are allocated to the appropriate RSF factor based on their residual maturity or liquidity value. Residual maturity has to take into account any options either explicit or implied that may extend the maturity of the asset (or OBS exposure). Amortized loans can be adjusted for that portion falling due within the one year time horizon.
158)Encumbered assets are assessed as per the period they are encumbered for at the highest applicable RSF factor if that period is greater than 6 months. Where the encumbrance period is less that 6 months the factor will be the same as unencumbered assets.
159)Banks should exclude from their assets securities which they have borrowed in financing transactions such as reverse repos and collateral swaps where they do not have beneficial ownership. Banks should include securities they have lent where they retain beneficial ownership. Securities received through collateral swaps should not be included if they do not appear on the balance sheet. Generally, if the bank retains beneficial ownership and the security appears on the balance sheet it should be assigned a RSF factor.
160)Netting can be accommodated provided there is a valid netting agreement. Likewise cash collateral can be taken into account.
161)Derivative assets are firstly based on replacement cost where the contract has a positive value.
162)Assets assigned a 0% RSF factor
a)Coins and bank notes
b)Central Bank Reserves
c)All claims on Central Banks with residual maturities of less than 6 months
d)‘trade date receivables’ as per BCBS document paragraph 30 and 36 (d)
163)Assets assigned a 5% RSF factor
a)Unencumbered Level 1 high quality liquid assets as defined in the LCR excluding those receiving a 0% RSF as above
b)Marketable securities representing claims or guaranteed by those entities prescribed a 0% risk weight by the Basel II standardized approach for credit risk.
164)Assets assigned a 10% RSF factor
a)Unencumbered loans to financial institutions with residual maturities of less than 6 months where the loan is secured against Level 1 assets as defined by the LCR and where the bank can freely use the collateral for the life of the loan.
165)Assets assigned a 15% RSF factor
a)Unencumbered Level 2A assets as defined in the LCR
b)All other unencumbered loans to financial institutions with residual maturities of less than 6 months not included in 164
166)Assets assigned a 50% RSF factor
a)Unencumbered Level 2B assets as per the LCR (when allowed)
b)HQLA (as per the LCR) that are unencumbered for a period of between six months and one year
c)Loans to financial institutions and central banks with a residual maturity of between six months and one year
d)Deposits held at other financial institutions for operational purposes
e)All other assets not included in the above categories that have a residual maturity of less than one year including loans to non-financial corporate clients, retail and SME loans as well as loans to sovereigns and PSEs. (GREs included).
f)Overdrafts that are core are to be assessed on a case by case basis and will be assumed to have a maturity greater than one year.
167)Assets assigned a 65% RSF factor
a)Unencumbered residential mortgages with a residual maturity of one year or more providing they qualify for a 35% or lower risk weight under Basel II standardized approach for credit risk.
b)Other unencumbered loans not included in the above categories, excluding loans to financial institutions, with a residual maturity of one year or more that would qualify for a 35% or lower risk weight under Basel II standardized approach.
168)Assets assigned an 85% RSF factor
a)Cash, securities or other assets posted as initial margin for derivative contracts or assets provided to contribute to the default fund of a central counterparty.
b)Other unencumbered performing loans that do not qualify for the 35% or lower risk weight requirements in 167) and have residual maturities of one year or more, excluding loans to financial institutions
c)Unencumbered securities with a remaining maturity of one year or more as well as exchange traded equities that are not in default and do not qualify as HQLA under the LCR.
d)Physical traded commodities such as gold
169)Assets assigned a 100% RSF factor
a)All assets that are encumbered for a period of one year or more
b)NSFR derivative assets as calculated subject to paragraph 160 and 161 net of NSFR derivative liabilities calculated as per paragraph 149, if the NSFR derivatives assets are greater than liabilities.
c)All other assets not included in the above categories including non-performing loans, loans to FIs with a residual maturity of one year or more, non-exchange traded equities, fixed assets, items deducted from regulatory capital, subsidiary interests and defaulted securities
d)20% of derivative liabilities as calculated according to paragraph 149