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PRU A9.2.15

Past version: effective from 21/10/2015 - 20/10/2015
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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
5%

10%
Term Deposits with residual maturity greater than 30 days 0%
B. Unsecured Wholesale Funding:
 
Demand and term Deposits (less than 30 days maturity) provided by small business customers:
•   Stable Deposits
•   Less stable Deposits
5%

10%
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 generated by clearing, custody and cash management activities:
•   Portion covered by Deposit insurance
25%

5%
Cooperative banks 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
40%

20%
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
0%
•   Secured funding transactions backed by Level 2A HQLA, with any Counterparty
15%
•   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
25%
•   Backed by RMBS eligible for inclusion in Level 2B HQLA
25%
•   Backed by other Level 2B HQLA
50%
•   All other secured funding transactions
100%
D. Additional Requirements:
 
Derivatives cash outflows 100%
Liquidity needs (e.g. Collateral calls) related to financing transactions, Derivatives and other contracts 100%
Market valuation changes on non-Level 1 HQLA posted Collateral securing Derivatives 20%
Excess Collateral held by a bank related to Derivative transactions that could contractually be called at any time by its Counterparty 100%
Liquidity needs related to Collateral contractually due from the reporting bank on Derivatives transactions 10)%
Increased liquidity needs related to Derivative transactions that allow Collateral substitution to non-HQLA assets 100%
Market valuation changes on Derivatives transactions (largest absolute net 30-day Collateral flows realised during the preceding 24 months) 100%
ABCP, SIVs, Conduits, etc:
•   Loss of funding on Asset Backed Securities, covered bonds and other structured financing instruments
100%
•   Loss of funding on ABCP, SIVs, SPVs, etc
100%
Undrawn committed credit and liquidity facilities:
•   Credit and Liquidity Facilities: Retail and small and medium-sized enterprise clients
5%
•   Credit Facilities: Non-financial corporates, sovereigns and central banks, PSEs, MDBs
10%
•   Liquidity Facilities: Non-financial corporates, sovereigns and central banks, PSEs, MDBs
30%
•   Credit and Liquidity Facilities: Banks subject to prudential supervision
40%
•   Credit Facilities: Other Financial Institutions (include Securities firms, insurance companies, fiduciaries and beneficiaries)
40%
•   Liquidity Facilities: Other Financial Institutions (include Securities firms, insurance companies, fiduciaries and beneficiaries)
100%
•   Credit and Liquidity Facilities: Other legal entity customers
100%
•   Other contractual obligations to Financial Institutions
100%
•   Other contractual obligations to retail and non-financial corporate clients
100%
Other contingent funding obligations:
•   Non-contractual obligations related to potential liquidity draws from joint ventures or minority Investments in entities
100%
•   Trade finance-related obligations (including letters of credit and guarantees)
3%
•   Unconditionally revocable "uncommitted" credit and liquidity facilities
5%
•   Guarantees and letters of credit unrelated to trade finance obligations
10%
Non-contractual obligations:
Debt-buy back requests (incl. related conduits)
100%
•   Structured products
10%
•   Managed funds
10%
•   Other non-contractual obligations
100%
Outstanding debt Securities with remaining maturity > 30 days 100%
Non contractual obligations where customer short positions are covered by other customers' Collateral 50%
Other contractual cash outflows 100%