PIB A9.4.2

(1) An Authorised Firm must calculate its RSF by adding together:
(a) the adjusted carrying values of its assets, calculated in accordance with (2); and
(b) the adjusted carrying values of its off-balance sheet (OBS) Exposures (or potential liquidity Exposures), calculated in accordance with (3).
(2) An Authorised Firm must calculate the adjusted carrying values of its respective assets by:
(a) assigning the carrying value of each asset to the applicable RSF Category set out in Table 1 to this Rule;
(b) adjusting the carrying value of each asset by multiplying it by the applicable RSF Factor set out in Table 1; and
(c) adding together each adjusted carrying value.
(3) An Authorised Firm must calculate the adjusted carrying values of its respective OBS Exposures (or potential liquidity Exposures) by:
(a) assigning the carrying value of each Exposure to one of the OBS-RSF Categories set out in Table 2 to this Rule;
(b) adjusting the carrying value of each asset by multiplying it by the applicable OBS-RSF Factor for that OBS-RSF Category, as set out in Table 2; and
(c) adding together each adjusted carrying value.
Table 1 - RSF Factors and Categories
RSF Factor
Components of RSF Category
0%
(a) coins and banknotes immediately available to meet obligations;
(b) all Central Banks reserves (including required reserves and excess reserves);
(c) all claims on Central Banks with residual maturities of less than six months; and
(d) trade date receivables arising from sales 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.
5% Unencumbered assets included in PIB Rule A9.2.6(2) (Level 1 HQLA), excluding assets receiving a 0% RSF Factor as specified above.
10% Unencumbered loans to financial institutions with residual maturities of less than six months, if the loan is secured against Level 1 HQLA included in PIB Rule A9.2.6, and where the bank has the ability freely to hypothecate the received collateral for the life of the loan.
15%

All loans to financial institutions with a residual maturity of less than six months, other than those receiving a 10% RSF Factor as specified above.

Unencumbered assets as defined in PIB Rule A9.2.7(2) (Level 2 HQLA).

50%
(a) unencumbered assets included in PIB Rule A9.2.8(2) (Level 2B HQLA), excluding any haircuts required under that Rule;
(b) any HQLA as defined in PIB Rules A9.2.6 to A9.2.8 that are encumbered for a period of between six months and less than one year;
(c) all loans to financial institutions and Central Banks with residual maturity of between six months and less than one year;
(d) operational deposits, that is, deposits held at other financial institutions for operational purposes, that are subject to the 50% ASF Factor set out in the table in PIB Rule A9.4.1; and
(e) all other non-HQLA not included in the above categories that have a residual maturity of less than one year, including loans to non-financial corporate clients, loans to retail customers (i.e. natural persons) and small business customers, and loans to sovereigns and PSEs.
65%
(a) unencumbered residential mortgages with a residual maturity of one year or more that would qualify for a 50% or lower risk weight under PIB Rule 4.12.17; and
(b) other unencumbered loans not included in the above categories, excluding loans to financial institutions, with a residual maturity of one year or more that would qualify for a 50% or lower risk weight under PIB section 4.12 (Risk Weights).
85%
(a) cash, securities or other assets posted as initial margin for derivative contracts or Shari'a compliant hedging contracts and cash or other assets provided to contribute to the default fund of a Central Counterparty (CCP). Where securities or other assets posted as initial margin for derivative contracts would otherwise receive a higher RSF Factor, they should retain that higher factor;
(b) other unencumbered performing loans that do not qualify for the 50% or lower risk weight under PIB section 4.12 and have residual maturities of one year or more, excluding loans to financial institutions.
(c) unencumbered securities with a remaining maturity of one year or more and exchange-traded equities, that are not in default and do not qualify as HQLA; and
(d) physical traded commodities, including gold.
100%
(a) all assets that are encumbered for a period of one year or more;
(b) NSFR derivative assets (net of NSFR derivative liabilities) if NSFR derivative assets are greater than NSFR derivative liabilities;
(c) NSFR Shari'a compliant hedging assets net of NSFR Shari'a compliant hedging liabilities if NSFR Shari'a compliant hedging assets are greater than NSFR Shari'a compliant hedging liabilities;
(d) 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 securities;
(e) 20% of derivative liabilities (i.e. negative replacement cost amounts), before deducting variation margin posted; and
(f) 20% of Shari'a compliant hedging liabilities.

 

Table 2 - OBS-RSF Factors and Categories
OBS-RSF Factor
Components of OBS-RSF Category
3% Trade finance related obligations (including guarantees and letters of credit).
5%
(a) irrevocable and conditionally revocable credit and liquidity facilities to any client; and
(b) unconditionally revocable credit and liquidity facilities.
10%
(a) the following non-contractual obligations:
(i) structured products where customers anticipate ready marketability, such as adjustable rate notes and variable rate notes; and
(ii) managed funds that are marketed with the objective of maintaining a stable value; and
(b) guarantees and letters of credit unrelated to trade finance obligations.
100%

The following non-contractual obligations:

(a) potential requests for debt repurchases of the bank's own debt or that of related conduits, securities investment vehicles and other such financing facilities; and
(b) other non-contractual obligations not mentioned above.

 

Derived from DFSA RM209/2017 (Made 25th October 2017). [VER30/01-18]
[Added] DFSA RMI270/2020 (Made 26th February 2020). [VER36/04-20]