Calculating ASF

170. The amount of a Bank’s ASF is calculated using the following steps:

(c) assign each of the Bank’s capital items and liabilities to 1 of the 5 categories set out in the following paragraphs 171 to 175;

(d) next, for each category add up the carrying values of all the capital items and liabilities assigned to the category;

(e) next, for each category multiply the total carrying values of the capital items and liabilities assigned to the category by the category’s ASF factor (also set out in paragraphs 171 to 175), giving the weighted amounts; and

(f) add up the weighted amounts.

171. The Category 1 liabilities and capital that receive a 100% ASF factor include:

(a) the total amount of the Bank’s regulatory capital (as set out BBR Chapter 3), excluding any Tier 2 instrument with residual maturity of less than 1 year, before the application of capital deductions;

(b) any other capital instrument that has an effective residual maturity of 1 year or more (except any instrument with an explicit or embedded option that, if exercised, would reduce the expected maturity to less than 1 year);

(c) the total amount of secured and unsecured borrowings and liabilities (including term deposits) with effective residual maturities of 1 year or more.

For (c) above, cash flows falling within the 1-year horizon but arising from liabilities with final maturity of more than 1 year do not qualify for the 100% ASF factor.

172. The Category 2 liabilities that receive 95% ASF factor include stable deposits (as defined in Section H of this Chapter 9 of BPG), with residual maturities of less than 1 year provided by retail and small- business customers.

173. The Category 3 liabilities that receive 90% ASF factor are the liabilities that receive a 90% ASF factor are less stable deposits (as defined in Section D of this Chapter 9 of BPG) with residual maturities of less than 1 year provided by retail and small-business customers.

174. The Category 4 liabilities that receive 50% ASF factor include the following:

(a) funding (secured and unsecured) with residual maturity of less than 1 year, from corporate customers that are not financial institutions;

(b) operational deposits (as defined in Section D of this Chapter 9 of BPG);

(c) funding with residual maturity of less than 1 year from sovereigns, public sector entities, MDBs and national development banks;

(d) other funding (secured or unsecured) not falling within the previous paragraphs (a) to (c), with residual maturity of between 6 months and 1 year, including funding from central banks and financial institutions.

175. The Category 5 liabilities that receive 0% ASF factor include the following:

(a) capital not included in Category 1 for this calculation;

(b) liabilities not included in Category 1 to 4 for this calculation;

(c) other liabilities without a stated maturity, except that:

(i) a deferred tax liability must be categorised according to the nearest possible date on which it could be realised; and

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

Funding from central banks and financial institutions with residual maturity of less than 6 months would fall within paragraph (b) above.

(d) NSFR derivative liabilities net of NSFR derivative assets, if NSFR derivative liabilities are greater than NSFR derivative assets;

Note For how to calculate NSFR derivative liabilities, please refer paragraphs 157 to 159 of this Chapter of the BPG. For how to calculate NSFR derivative assets, please refer paragraphs 167 to 169 of this Chapter of the BPG.

(e) 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 settle, but are still expected to do so.

176. Other liabilities without a stated maturity could include short positions, positions with open maturity and deferred tax liabilities. A liability referred to in paragraph 26 (c) above would receive either a 100% ASF factor if its effective maturity were 1 year or more, or a 50% ASF factor if its effective maturity were between 6 months and 1 year.