Page 41 - Banking Finance October 2019
P. 41
ARTICLE
(d) All other assets not included in the above
categories, including non-performing loans,
loans to financial institutions with a residual
maturity of one year or more, non-exchange-
traded equities, fixed assets, items deducted
from regulatory capital, retained interest,
insurance assets, subsidiary interests and
defaulted securities; and
(d) 5% of derivative liabilities (i.e. negative
replacement cost amount) (before deducting
variation margin posted).
(e) All 'standard' restructured loans which attract
higher risk and/or additional provisioning.
currencies and commodities for which a
9. RSF - Other Requirements purchase order has been executed, and
a) The RSF factors assigned to various types of
assets are intended to approximate the amount 2. Exclude financial instruments, foreign
of a particular asset that would have to be currencies and commodities for which a
funded, either because it will be rolled over, or sales order has been executed, even if such
because it would not be monetized through transactions have not been reflected in
sale or used as collateral in a secured the balance sheet under a settlement-
borrowing transaction over the course of one date accounting model, provided that (i)
year without significant expense. Under the such transactions are not reflected as
standard, such amounts are expected to be derivatives or secured financing
supported by stable funding. transactions in the institution's balance
sheet, and (ii) the effects of such
b) Assets should be allocated to the appropriate transactions will be reflected in the
RSF factor based on their residual maturity or institution's balance sheet when settled.
liquidity value. When determining the maturity
of an instrument, investors should be assumed c) Off balance Sheet Items which require stable
to exercise any option to extend maturity. For Funding
assets with options exercisable at the bank's 1. OBS exposure assigned 5% of RSF-
discretion, RBI may take into account Currently undrawn portion
reputational factors that may limit a bank's Y Irrevocable and conditionally
ability not to exercise the option and prescribe revocable credit and liquidity facilities
higher RSF Factor. In particular, where the to any client
market expects certain assets to be extended Y Other contingent funding obligations,
in their maturity, banks should assume such including products and instruments
behavior for the purpose of the NSFR and
Y Unconditionally revocable credit and
include these assets in the corresponding RSF
liquidity facilities
category. If there is a contractual provision
with a review date to determine whether a 2. Non OBS exposure assigned 3% of RSF of
given facility or loan is renewed or not, RBI may the currently undrawn portion
authorize banks on a case by case basis, to use Y Contractual obligations such as:
the next review date as the maturity date. Z Potential requests for debt
repurchases of the bank's own
For purposes of determining its required stable
debt or that of related conduits,
funding, an institution should
securities investment vehicles and
1. Include financial instruments, foreign other such financing facilities
BANKING FINANCE | OCTOBER | 2019 | 41
