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

No: 449670000041 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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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 2B assets (Note: Level 2B 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 2B 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