A. Definition of Available Stable Funding
| No: 44967/41 | Date(g): 26/6/2018 | Date(h): 13/10/1439 | Status: In-Force |
Effective from 2018-06-26 - Jun 25 2018
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| The amount of available stable funding (ASF) is measured based on the broad characteristics of the relative stability of an institution's funding sources, including the contractual maturity of its liabilities and the differences in the propensity of different types of funding providers to withdraw their funding. The amount of ASF is calculated by first assigning the carrying value of an institution's capital and liabilities to one of five categories as presented below. The amount assigned to each category is then multiplied by an ASF factor, and the total ASF is the sum of the weighted amounts. Carrying value represents the amount at which a liability or equity instrument is recorded before the application of any regulatory deductions, filters or other adjustments. | |
| When determining the maturity of an equity or liability instrument, investors are assumed to redeem a call option at the earliest possible date. For funding with options exercisable at the bank's discretion, SAMA will take into account reputational factors that may limit a bank's ability not to exercise the option 5. In particular, where the market expects certain liabilities (e.g. Tier 2 sub debt) to be redeemed before their legal final maturity date, banks and SAMA will assume such behaviour for the purpose of the NSFR and include these liabilities in the corresponding ASF category. For long-dated liabilities, only the portion of cash flows falling at or beyond the six-month and one-year time horizons should be treated as having an effective residual maturity of six months or more and one year or more, respectively. | |
Calculation of derivative liability amounts
Derivative liabilities are calculated first based on the replacement cost for derivative contracts (obtained by marking to market) where the contract has a negative value. When an eligible bilateral netting contract is in place that meets the conditions as specified in Paragraph 20 of Circular No. 351000133367 dated 25th August 2014 . 6 the replacement cost for the set of derivative exposures covered by the contract will be the net replacement cost.
In calculating NSFR derivative liabilities, collateral posted in the form of variation margin in connection with derivative contracts, regardless of the asset type, must be deducted from the negative replacement cost amount.7,8
6 See circular No.351000133367, August 2014, sama.gov.sa
7 NSFR derivative liabilities = (derivative liabilities) - (total collateral posted as variation margin on derivative liabilities).
8 To the extent that the bank's accounting framework reflects on balance sheet, in connection with a derivative contract, an asset associated with collateral posted as variation margin that is deducted from the replacement cost amount for purposes of the NSFR, that asset should not be included in the calculation of a bank's required stable Funding (RSF) to avoid any double-counting.