|
| RSF factor | Components of RSF category |
|
| | (i) Cash immediately available to meet obligations, not currently encumbered as collateral and not held for planned use (as contingent collateral, salary payments, or for other reasons) |
| | (ii) Unencumbered short-term unsecured instruments and transactions with outstanding maturities of less than one year1 |
| 0% | (iii) Unencumbered securities with stated remaining maturities of less than one year with no embedded options that would increase the expected maturity to more than one year |
| | (iv) Unencumbered securities held where the institution has an offsetting reverse repurchase transaction when the security on each transaction has the same unique identifier (e.g., ISIN number or CUSIP) |
| | (v) Unencumbered loans to financial entities with effective remaining maturities of less than one year that are not renewable and for which the lender has an irrevocable right to call |
|
| 5% | Unencumbered marketable securities with residual maturities of one year or greater representing claims on or claims guaranteed by sovereigns, central banks, BIS, IMF, EC, noncentral government PSEs or multilateral development banks that are assigned a 0% risk-weight under the Basel II Standardized Approach, provided that active repo or sale-markets exist for these securities |
|
| 20% | (i) Unencumbered corporate bonds or covered bonds rated AA− or higher with residual maturities of one year or greater satisfying all of the conditions for L2As in the LCR, outlined in Paragraph 42(b) |
| (ii) Unencumbered marketable securities with residual maturities of one year or greater representing claims on or claims guaranteed by sovereigns, central banks, noncentral government PSEs that are assigned a 20% risk weight under the Basel II Standardized Approach, provided that they meet all of the conditions for Level 2 assets in the LCR, outlined in Paragraph 42(a) |
|
| 50% | (i) Unencumbered gold |
| (ii) Unencumbered equity securities, not issued by financial institutions or their affiliates listed on a recognized exchange and included in a large cap market index |
| (iii) Unencumbered corporate bonds and covered bonds that satisfy all of the following conditions: |
| (a) central bank eligibility for intraday liquidity needs and overnight liquidity shortages in relevant jurisdictions2 |
| (b) not issued by financial institutions or their affiliates (except in the case of covered bonds) |
| (c) not issued by the respective firm itself or its affiliates |
| (d) Low credit risk: assets have a credit assessment by a recognized ECAI of A+ to A−, or do not have a credit assessment by a recognized ECAI and are internally rated as having a PD corresponding to a credit assessment of A+ to A− |
| (e) traded in large, deep, and active markets characterized by a low level of concentration |
| (iv) Unencumbered loans to nonfinancial corporate clients, sovereigns, central banks, and PSEs having a remaining maturity of less than one year |
|
| 65% | (i) Unencumbered residential mortgages of any maturity that would qualify for the 35% or lower risk weight under Basel II Standardized Approach for credit risk |
| (ii) Other unencumbered loans, excluding loans to financial institutions, with a remaining maturity of one year or greater, that would qualify for the 35% or lower risk weight under Basel II Standardized Approach for credit risk |
|
| 85% | Unencumbered loans to retail customers (i.e., natural persons) and small business customers (as defined in the LCR) having a remaining maturity of less than one year (other than those that qualify for the 65% RSF above) |
|
| 100% | All other assets not included in the above categories |
|
