IBANK 8.4.38 Treatment of loss of funding on maturing asset-backed commercial paper, conduits, structured investment vehicles etc

The runoff rate for loss of funding on asset-backed commercial paper, conduits, structured investment vehicles and other similar financing arrangements that mature within the relevant 30-calendar-day period is 100% of the total of:

(a) the maturing amount;
(b) if the arrangement allows assets to be returned within that period — the value of the returnable assets; and
(c) if under the arrangement the firm could be obliged to provide liquidity within that period — the total amount of liquidity that the firm could be obliged to provide.
Inserted by QFCRA RM/2018-2 (as from 1st May 2018).