PIB A9.2.15
The following table specifies, for each of the various categories or types of liabilities and off-balance sheet commitments, the rates at which they are expected to run off or be drawn down for the purpose of calculating the LCR.
Cash Outflows
|
|
Item
|
Factor
|
A. Retail Deposits: | |
Demand deposit and term deposits (less than 30 days maturity): • Stable deposits • Less stable retail deposits |
|
Term deposits with residual maturity greater than 30 days |
|
B. Unsecured Wholesale Funding: | |
Demand and term deposits (less than 30 days maturity) provided by small business customers: • Stable deposits • Less stable deposits |
|
Small business customers – Term deposits with residual maturity greater than 30 days with no legal right to withdraw or a withdrawal with a significant penalty |
0%
|
Operational deposits or operational accounts generated by clearing, custody and cash management activities: • Portion covered by deposit insurance |
|
Cooperative banks or institutions offering Islamic financial services in an institutional network (qualifying deposits with the centralised institution) |
25%
|
Non-financial corporates, sovereigns, central banks, multilateral development banks and PSEs: • If the entire amount is fully covered by a deposit protection scheme |
|
Other legal entity customers |
100%
|
C. Secured Funding: | |
• Secured funding transactions with a central bank counterparty or backed by Level 1 HQLA with any counterparty |
|
• Secured funding transactions backed by Level 2A HQLA, with any counterparty |
|
• Secured funding transactions backed by non-Level 1 HQLA or non-Level 2A HQLA, with domestic sovereigns, multilateral development banks, or domestic PSEs as a counterparty |
|
• Backed by RMBS eligible for inclusion in Level 2B HQLA |
|
• Backed by other Level 2B HQLA |
|
• All other secured funding transactions |
|
D. Additional Requirements: | |
Derivatives cash outflows or Shari'a compliant hedging |
|
Liquidity needs (e.g. collateral calls) related to financing transactions, derivatives and other contracts |
|
Market valuation changes on non-Level 1 HQLA posted collateral securing derivatives |
|
Excess collateral held by a bank related to derivative transactions that could contractually be called at any time by its counterparty |
|
Liquidity needs related to collateral contractually due from the reporting bank on derivatives transactions |
|
Increased liquidity needs related to derivative transactions that allow collateral substitution to non-HQLA assets |
|
Market valuation changes on derivatives transactions (largest absolute net 30-day collateral flows realised during the preceding 24 months) |
|
ABCP, SIVs, Conduits, etc: • Loss of funding on Asset Backed Securities, covered bonds and other structured financing instruments |
|
• Loss of funding on ABCP, SIVs, SPVs, etc |
|
Undrawn committed credit and liquidity facilities: • Credit and Liquidity Facilities: Retail and small and medium-sized enterprise clients |
|
• Credit Facilities: Non-financial corporates, sovereigns and central banks, PSEs, MDBs |
|
• Liquidity Facilities: Non-financial corporates, sovereigns and central banks, PSEs, MDBs |
|
• Credit and Liquidity Facilities: Banks subject to prudential supervision |
|
• Credit Facilities: Other financial institutions (include securities firms, insurance companies, fiduciaries and beneficiaries) |
|
• Liquidity Facilities: Other financial institutions (include securities firms, insurance companies, fiduciaries and beneficiaries) |
|
• Credit and Liquidity Facilities: Other legal entity customers |
|
• Other contractual obligations to financial institutions |
|
• Other contractual obligations to retail and non-financial corporate clients |
|
Other contingent funding obligations: • Non-contractual obligations related to potential liquidity draws from joint ventures or minority investments in entities |
|
• Trade finance-related obligations (including letters of credit and guarantees) |
|
• Unconditionally revocable "uncommitted" credit and liquidity facilities |
|
• Guarantees and letters of credit unrelated to trade finance obligations |
|
Non-contractual obligations: • Debt-buy back requests (incl. related conduits) |
|
• Structured products |
|
• Managed funds |
|
• Other non-contractual obligations |
|
Outstanding debt securities with remaining maturity > 30 days |
|
Non contractual obligations where customer short positions are covered by other customers' collateral |
|
Other contractual cash outflows |
|
[Added] DFSA RM148/2014 (Made 1st January 2015). [VER23/01-15]
[Amended] DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]
[Amended] DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]