Page 40 - Banking Finance December 2020

ARTICLE

represents the amount at which a liability or equity
instrument is recorded before the application of any
regulatory deductions, filters or other adjustments.

1. Liabilities and capital instruments receiving 100% ASF
factor comprise:
a) the total amount of regulatory capital, before the
application of capital deductions, excluding the
proportion of Tier 2 instruments with residual maturity
of less than one year;
b) the total amount of any capital instrument not included a) all other liabilities and equity categories not included in
in (a) that has an effective residual maturity of one year the above categories, including other funding with
or more, but excluding any instruments with explicit or residual maturity of less than six months from RBI and/
embedded options that, if exercised, would reduce the or other central banks and financial institutions;
expected maturity to less than one year; and
b) other liabilities without a stated maturity. This category
c) the total amount of secured and unsecured borrowings may include short positions and open maturity positions.
and liabilities (including term deposits) with effective Two exceptions can be recognized for liabilities without
residual maturities of one year or more. Cash flows due a stated maturity:
before the one-year horizon but arising from liabilities
O first, deferred tax liabilities, which should be
with a final maturity greater than one year do not treated according to the nearest possible date on
qualify for the 100% ASF factor.
which such liabilities could be realized
2. Liabilities receiving 95% ASF factor
O second, minority interest, which should be treated
a) Liabilities receiving a 95% ASF factor comprise "stable" according to the term of the instrument, usually in
non-maturity (demand) deposits and/or term deposits perpetuity.
with residual maturities of less than one year provided
by retail and small business customers. These liabilities would then be assigned either a
100% ASF factor if the effective maturity is one year
3. Liabilities receiving 90% ASF factor
or greater, or 50%, if the effective maturity is
a) Liabilities receiving a 90% ASF factor comprise "less
between six months and less than one year;
stable" non-maturity (demand) deposits and/or term
deposits with residual maturities of less than one year c) NSFR derivative liabilities as calculated in following
provided by retail and small business customers. descriptions, net of NSFR derivative assets as calculated
below, if NSFR derivative liabilities are greater than
4. Liabilities receiving 50% ASF factor comprise: NSFR derivative assets; and
a) funding (secured and unsecured) with a residual
maturity of less than one year provided by non-financial d) "trade date" payables arising from purchases of financial
corporate customers; instruments, foreign currencies and commodities that
(i) are expected to settle within the standard settlement
b) operational deposits
cycle or period that is customary for the relevant
c) funding with residual maturity of less than one year exchange or type of transaction, or (ii) have failed to,
from sovereigns, public sector entities (PSEs), and but are still expected to, settle.
multilateral and national development banks (NABARD, 6. ASF - Other Requirements
NHB & SIDBI); and
Calculation of derivative liability amounts
d) other funding (secured and unsecured) not included in Derivative liabilities are calculated first based on the
the categories above with residual maturity between replacement cost for derivative contracts (obtained by
six months to less than one year, including funding from marking to market) where the contract has a negative
RBI and/or other central banks and financial institutions.
value. If the derivative exposure is covered by an eligible
5. Liabilities receiving 0% ASF factor comprise: bilateral netting contract, the replacement cost for the

40 | 2020 | DECEMBER | BANKING FINANCE