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  • Net Stable Funding Ratio Prudential Returns

    • Prudential Returns - 1 Summary of Liability Categories and Associated ASF Factors

      Table 1 below summarizes the components of each of the ASF categories and the associated maximum ASF factor to be applied in calculating an institution's total amount of available stable funding under the standard.

      Table 1

       Components of ASF categoryASF factorRAW AmountAmount of Available Stable Funding
      1Total regulatory capital (excluding Tier 2 instruments with residual maturity of less than one year)100%  
      2Other capital instruments and liabilities with effective residual maturity of one year or more100%  
      3Stable non-maturity (demand) deposits and term deposits with residual maturity of less than one year provided by retail and small business customers95%  
      4Less stable non-maturity deposits and term deposits with residual maturity of less than one year provided by retail and small business customers90%  
      5Funding with residual maturity of less than one year provided by non-financial corporate customers50%  
      6Operational deposits50%  
      7Funding with residual maturity of less than one year from sovereigns, PSEs, and multilateral and national development Banks50%  
      8Other funding with residual maturity between six months and less than one year not included in the above categories, including funding provided by central banks and financial institutions50%  
      9All other liabilities and equity not included in the above categories, including liabilities without a stated maturity (with a specific treatment for deferred tax liabilities and minority interests)0%  
      10NSFR derivative liabilities net of NSFR derivative assets if NSFR derivative liabilities are greater than NSFR derivative assets0%  
      11"Trade date" payables arising from purchases of financial instruments, foreign currencies and commodities0%  
       Total Amount of Available Stable Funding  XXX

    • Prudential Returns - 2 Summary of Assets Categories and Associated ASF Factors

      Table 2 summarizes the specific types of assets to be assigned to each asset category and their associated RSF factor.

      Table 2

       Components of RSF categoryRSF factorRAW AmountRequired Stable Funding Amount
      1.Coins and banknotes0%  
      2.All central bank reserves0%  
      3.All claims on central banks with residual maturities of less than six months0%  
      4."Trade date" receivables arising from sales of financial instruments, foreign currencies and commodities.0%  
      5.Unencumbered Level 1 assets, excluding coins, banknotes and central bank reserves.5%  
      6.Unencumbered loans to financial institutions with residual maturities of less than six months, where the loan is secured against Level 1 assets as defined In LCR paragraph 50, (Attachment# 1. SAMA's General Guidance concerning Amended LCR.) and where the bank has the ability to freely rehypothecate the received collateral for the life of the loan10%  
      7.All other unencumbered loans to financial institutions with residual maturities of less than six months not included in the above categories15%  
      8.Unencumbered Level 2A assets15%  
      9.Unencumbered Level 28 assets (Note: Level 28 Assets have not been adopted for NSFR purposes and hence any securities that do not qualify for Level 1 or Level 2A Assets under LCR guidelines issued by SAMA - need to be classified under securities that do not meet the definition of HQLA and therefore no securities should be classified under Level 28 HQLA, whilst computing NSFR or disclosing the same.)50%  
      10.HQLA encumbered for a period of six months or more and less than one year.50%  
      11.Loans to financial Institutions and central banks with residual maturities between six months and less than one year50%  
      12.Deposits held at other financial institutions for operational purposes50%  
      13.All other assets not Included In the above categories with residual maturity of less than one year, including loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns and PSEs50%  
      14.Unencumbered residential mortgages with a residual maturity of one year or more and with a risk weight of less than or equal to 35% under the Standardized Approach65%  
      15.Other unencumbered loans not included in the above categories, excluding loans to financial institutions, with a residual maturity of one year or more and with a risk weight of less than or equal to 35% under the standardized approach65%  
      16.Cash, securities or other assets posted as initial margin for derivative contracts and cash or other assets provided to contribute to the default fund of a CCP85%  
      17.Other unencumbered performing loans with risk weights greater than 35% under the standardized approach and residual maturities of one year or more, excluding loans to financial institutions85%  
      18.Unencumbered securities that are not in default and do not qualify as HQLA with a remaining maturity of one year or more and exchange-traded equities85%  
      19.Physical traded commodities, including gold85%  
      20.All assets that are encumbered for a period of one year or more100%  
      21.NSFR derivative assets net of NSFR derivative liabilities if NSFR derivative assets are greater than NSFR derivative liabilities.100%  
      22.20% of derivative liabilities as calculated according to "Calculation of derivative liability amounts'' of this guidelines, Page 6 and 7100%  
      23.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 securities100%  
       Total Amount of Required Stable Funding  XXX

    • Prudential Returns - 3 Summary of Off-Balance Sheet Categories and Associated RSF Factors

      Table 3

      RSF categoryRSF factorRAW AmountAmount of Required Stable Funding
      Irrevocable and conditionally revocable credit and liquidity facilities to any client5% of the currently undrawn portion  
      Other contingent funding obligations, including products and instruments such as:SAMA has set the RSF factor AT 0% based on current national circumstances.19  
       •Unconditionally revocable credit and liquidity facilities
       •Trade finance-related obligations (including guarantees and letters of credit)
       •Guarantees and letters of credit unrelated to trade finance obligations
       •Non-contractual obligations such as:
        -potential requests for debt repurchases of the bank's own debt or that of related conduits, securities investment vehicles and other such financing facilities
        -structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate demand notes (VRDNs)
        -managed funds that are marketed with the objective of maintaining a stable value
      Total Amount of Required Stable Funding  Xxx

      19 SAMA in consultation with banks will provide the appropriate RSF factors.

    • Prudential Template – 4

      The NSFR is defined as the amount of available stable funding relative to the amount of required stable funding. This ratio should be equal to at least 100% on an ongoing basis. "Available stable funding'' is defined as the portion of capital and liabilities expected to be reliable over the time horizon considered by the NSFR, which extends to one year. The amount of such stable funding required ("Required stable funding") of a specific institution is a function of the liquidity characteristics and residual maturities of the various assets held by that institution as well as those of its off-balance sheet (OBS) exposures.

      Available amount of stable funding≥100% 
        
      Available amount of stable funding