PRU A10.2.15
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% |