Document ID: chunk:federal_register_of_legislation:F2022L01620:reg:100:p6
Version: federal_register_of_legislation:F2022L01620
Segment Type: reg
Provision Reference: reg 100 (pt 6/12)
Character Range: 80023–83118

national development banks; and

       (f)           other funding, secured and unsecured, not included in the categories above with a residual maturity of between six months to less than one year, including funding from central banks and financial institutions.

Liabilities receiving a zero per cent ASF factor

    15.         The following liabilities must be assigned a zero per cent ASF factor:

       (a)          all other liabilities and equity categories not included in paragraphs 11 to 14 of this Attachment, including other funding with a residual maturity of less than six months from central banks and financial institutions;[18]

       (b)          other liabilities without a stated maturity including short positions and open maturity positions, except for:

           (i)            deferred tax liabilities, which must be treated according to the nearest possible date on which such liabilities could be realised; and

           (ii)         minority interests, which must be treated according to the term of the instrument, usually in perpetuity.

       These liabilities are assigned a 100 per cent ASF factor if the effective maturity is one year or greater, or 50 per cent, if the effective maturity is between six months and less than one year;

       (c)          if NSFR derivative liabilities are greater than NSFR derivative assets, then NSFR derivative liabilities calculated in accordance with paragraphs 9 and 10 of this Attachment net of NSFR derivative assets as calculated in accordance with paragraphs 27 and 28 of this Attachment;[19] and

       (d)          trade date payables arising from the purchase of financial instruments, foreign currencies and commodities that (i) are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transaction or (ii) have failed to, but are still expected to, settle.

Required stable funding (RSF)

    16.         RSF is the minimum amount of stable funding an ADI is required to hold and is a function of the liquidity characteristics and residual maturities of the various assets held by an ADI including off-balance sheet (OBS) exposures.

    17.         An ADI must calculate its RSF as follows:

       (a)          assign the ADI's assets, at carrying value, and OBS exposures to the relevant RSF category (refer to paragraphs 29 to 37 of this Attachment);

       (b)          multiply the amount assigned to each asset category and OBS exposure (or potential liquidity exposure) by the corresponding RSF factor; and

       (c)          sum the weighted amounts.[20]

    18.         An ADI must allocate assets to the appropriate RSF factor based on the asset's residual maturity or liquidity value as detailed in this attachment.

    19.         For the purposes of determining its RSF, an ADI must include financial instruments, foreign currencies and commodities for which a purchase order has been executed. An ADI may exclude financial instruments, foreign currencies and commodities for which a sales order has been