| Liabilities and capital instruments receiving a 100% ASF factor comprise: | |
| | (a) | the total amount of regulatory capital, before the application of capital deductions, as defined in chapter A "Regulatory Capital Under Basel III", in Section A - Finalized guidance document concerning the implementation of Basel Ill, 2012 (also reproduced in Appendix - A for the convenience of the reader),15 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 in (a) that has an effective residual maturity of one year or more, but excluding any instruments with explicit or embedded options that, if exercised, would reduce the expected maturity to less than one year; and |
| | (c) | The total amount of secured and unsecured borrowings and liabilities (including term deposits) with effective residual maturities of one year or more. Cash flows falling below the one-year horizon but arising from liabilities with a final maturity greater than one year do not qualify for the 100% ASF factor.
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Liabilities receiving a 95% ASF factor comprise "stable" (as defined in the LCR in paragraphs 75-78 - Attachment# 1, SAMA's General Guidance concerning Amended LCR.) non-maturity (demand) deposits and/or term deposits with residual maturities of less than one year provided by retail and small business customers.16
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Liabilities receiving a 90% ASF factor comprise "less stable" (as defined in the LCR in paragraphs 79-81 - Attachment # 1, SAMA's General Guidance concerning Amended LCR.) non-maturity (demand) deposits and/or term deposits with residual maturities of less than one year provided by retail and small business customers.
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| Liabilities receiving a 50% ASF factor comprise: | |
| | (a) | funding (secured and unsecured) with a residual maturity of less than one year provided by non-financial corporate customers; |
| | (b) | operational deposits (as defined in LCR paragraphs 93-104, Attachment# 1,SAMA's General Guidance concerning Amended LCR ): |
| | (c) | funding with residual maturity of less than one year from sovereigns, public sector entities (PSEs), and multilateral and national development banks; and |
| | (d) | other funding (secured and unsecured) not included in the categories above with residual maturity between six months to less than one year, including funding from central banks and financial institutions.
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| Liabilities receiving a 0% ASF factor comprise: | |
| | (a) | all other liabilities and equity categories not included in the above categories, including other funding with residual maturity of less than six months from central banks and financial institutions;17 |
| | (b) | Other liabilities without a stated maturity. This category may include short positions and open maturity positions. Two exceptions can be recognized for liabilities without a stated maturity: |
| | | • | first, deferred tax liabilities, which should be treated according to the nearest possible date on which such liabilities could be realized;
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| | | • | Second, minority interest, which should be treated according to the term of the instrument, usually in perpetuity.
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| | | These liabilities would then be assigned either a 100% ASF factor if the effective maturity is one year or greater, or 50%, if the effective maturity is between six months and less than one year;
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| | (c) | NSFR derivative liabilities as calculated according to item # 5 of this document titled "General Guidance Section A: Definition of Available Stable Funding", and Net of NSFR derivative assets as calculated according to item# 5 of this document Section B definition of "Required Stable Funding" paragraphs entitled "Calculations of Derivative assets amount, if NSFR derivative liabilities are greater than NSFR derivative assets;18 and |
| | (d) | "trade date" payables arising from purchases 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.
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| | | Note: Prudential return 1 (refer prudential return section of this document) summarises 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.
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