BANK 9.6.8 Calculating RSF — liquidity risk group B banking business firms

The amount of a liquidity risk group B banking business firm's RSF is calculated as follows:

(a) first, for each of the firm's assets and off-balance-sheet items, multiply its carrying value by the RSF factor set out in table 9.6.8A or 9.6.8B for an asset or item of that kind and maturity (giving the weighted amounts);
(b) finally, add up the weighted amounts.

Table 9.6.8A RSF factors — on-balance-sheet assets

Item no. Kind of asset RSF factor (%):
    With maturity (months) no maturity
    < 6 6 - < 12 > 12  
1 On-balance-sheet assets (excluding assets treated as liquefiable assets for the calculation of the firm's MLR) 0 50 100 100
2 Defaulted securities and non-performing loans 100 100 100 100
3 Net derivative assets 100 100 100 100
4 Other assets 0 50 100 100

Table 9.6.8B RSF factors — off-balance-sheet items

Item no. Kind of item RSF factor (%):
    With maturity (months) no maturity
    < 6 6 - < 12 > 12  
1 Undrawn portions of irrevocable and conditionally revocable credit facilities and liquidity facilities 5 5 5 5
2 Undrawn portions of unconditionally revocable credit facilities and liquidity facilities 0 0 0 0
3 Trade-related contingencies 3 3 3 3
4 Non-trade-related contingencies (including guarantees and letters of credit not included in item 3) 10 10 10 10
5 Other off-balance-sheet items 0 0 0 0

Inserted by QFCRA RM/2018-1 (as from 1st May 2018).