Liquidity Adequacy Requirements (LAR): Chapter 4 – Net Cumulative Cash Flow

Document Properties

  • Type of Publication: Guideline
  • Date: April 2019
  • Audiences: Banks / BHC / T&L

Subsection 485(1) and 949(1) of the Bank Act (BA) and subsection 473(1) of the Trust and Loan Companies Act (TLCA) require banks, bank holding companies and trust and loan companies, respectively, to maintain adequate and appropriate forms of liquidity.

The LAR Guideline is not made pursuant to subsection 485(2) or 949(2) of the BA or subsection 473(2) of the TLCA. However, the liquidity metrics set out in this guideline provide the framework within which the Superintendent assesses whether a bank, a bank holding company or a trust and loan company maintains adequate liquidity pursuant to the Acts. For this purpose, the Superintendent has established two minimum standards: the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). These standards – in conjunction with additional liquidity metrics where OSFI reserves the right to apply supervisory requirements as needed, including the net cumulative cash flow (NCCF), the liquidity monitoring tools and the intraday liquidity monitoring tools – when assessed as a package, provide an overall perspective of the liquidity adequacy of an institution. The LAR Guideline should be read together with the Basel Committee on Banking Supervision's (BCBS) Principles for Sound Liquidity Risk Management and Supervision and OSFI's Guideline B-6: Liquidity Principles.  As such, OSFI will conduct detailed supervisory assessments of both the quantitative and qualitative aspects of an institution's liquidity risk, as presented in the LAR Guideline and Guideline B-6, respectively. Notwithstanding that a bank, a bank holding company or a trust and loan company may meet the aforementioned standards, the Superintendent may by order direct a bank or bank holding company to take actions to improve its liquidity under subsection 485(3) or 949(3), respectively, of the BA or a trust and loan company to take actions to improve its liquidity under subsection 473(3) of the TLCA.

OSFI, as a member of the BCBS, participated in the development of the international liquidity framework, including Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools (January 2013), Basel III: the Net Stable Funding Ratio (October 2014) and Monitoring tools for intraday liquidity management (April 2013).  This domestic guidance is based on the Basel III framework, supplemented to include additional OSFI-designed measures to assess the liquidity adequacy of an institution.

Where relevant, the Basel III paragraph numbers are provided in square brackets at the end of each paragraph referencing material from the Basel III framework. Some chapters include boxed-in text (called OSFI Notes) that set out how certain requirements are to be implemented by Canadian banks, bank holding companies and trust and loan companies, collectively referred to as 'institutions'.

Liquidity Adequacy Requirements

The Liquidity Adequacy Requirements (LAR) for banks, bank holding companies and trust and loan companies are set out in six chapters, each of which has been issued as a separate document. This document, which contains Chapter 4 – Net Cumulative Cash Flow, should be read together with the other LAR chapters which include:

  • Chapter 1 Overview
  • Chapter 2 Liquidity Coverage Ratio
  • Chapter 3 Net Stable Funding Ratio
  • Chapter 4 Net Cumulative Cash Flow
  • Chapter 5 Liquidity Monitoring Tools
  • Chapter 6 Intraday Liquidity Monitoring Tools

Chapter 4 – Net Cumulative Cash Flow

4.1 Objective

  1. The Net Cumulative Cash Flow (NCCF) metric is used by OSFI (in conjunction with the other metrics specified in the LAR Guideline) to supervise and monitor liquidity at an individual financial institution.  The NCCF measures an institution's detailed cash flows in order to capture the risk posed by funding mismatches between assets and liabilities after the application of assumptions around the functioning of assets and modified liabilities (i.e. where rollover of certain liabilities is permitted). The NCCF measures an institution's net cumulative cash flows both on the basis of the consolidated balance sheet as well as by major individual balance sheets and components.  The metric helps identify gaps between contractual inflows and outflows for various time bands over and up to a 12 month time horizon, which indicate potential cash flow shortfalls an institution may need to address.
  2. The NCCF calculates a horizon for net positive cash flows in order to capture the risk posed by funding mismatches between assets and liabilities. By utilizing this type of cash flow analysis, institutions may be able to better mitigate the risk of disruption to market confidence and maintain the ability to meet short-term liabilities in a liquidity crisis. This aims to provide institutions with the time to find alternative sources of funding or to liquidate assets as needed.
  3. The NCCF necessitates that institutions consider structural liquidity risk,  contingent liquidity risk and market liquidity risk. Through the NCCF analysis, institutions will consider their ability to withstand asset devaluations, losses of market confidence, and accelerated reductions in funding capacity during a period of stress. The NCCF analysis offers further perspective into the maturity profile of an institution's balance sheet, and provides OSFI with additional assurance of the institution's liquidity adequacy as a complement to internationally prescribed metrics.

4.2 Definition

  1. The NCCF is a liquidity horizon metric that measures an institution's net cumulative cash flow.  Cash and security flows associated with assets and liabilities that have a contractual maturity should be considered based on their residual contractual maturity.  For liabilities, rollover of existing liabilities is limited to retail and small business customer term deposits, bank-sponsored acceptances, and certain other operational and non-operational deposits (see Table 1).  The threshold for small business customer deposits is $5 million or less for the NCCF, on an individual account basis.  Run-off rates (i.e. outflows) associated with liabilities that have an indeterminate maturity (non-defined or open maturity), such as demand deposits, are applied over two time intervals – weekly for the first monthFootnote 1 and monthly from month 2 to month 12 (see Section 4.6).
  2. The liquidity scenario assumed in the NCCF encompasses a combination of idiosyncratic and systemic stresses which measure the impacts of assumptions over a one year liquidity horizon. Stress assumptions result in:
    1. cash inflows from eligible unencumbered liquid assets, other securities and assets;
    2. partial run-off of retail and small business customer deposits; and,
    3. partial run-off of wholesale funding.
  3. The time bands reported under the NCCF include weekly buckets for the first four weeks, monthly buckets for month 2 to month 12, and a greater than one year bucket.

4.3 Supervisory tool

  1. The NCCF compares cumulative cash inflows from maturing assets and unencumbered liquid assets against cumulative cash outflows as given by the following equation:
    • NCCF (Weeks) = ∑ (Inflows – Outflows), Cumulative
  2. OSFI may, as necessary, require individual institutions to meet a supervisory-communicated, institution-specific NCCF level. In such instances, the supervisory-communicated, institution-specific NCCF level will be set by OSFI after considering the trend in financial market funding liquidity indicators and institution-specific liquidity metrics and risks.  In addition, when determining the NCCF level for individual institutions, OSFI will consider such factors as operating and management experience, strength of parent, earnings, diversification of assets, type of assets, inherent risk of a business model and risk appetite.  While OSFI collects NCCF data over a 12 month time horizon, it is expected that institutions' liquidity management and internal transfer pricing reflect its supervisory-communicated NCCF level.  For periods beyond the supervisory-communicated NCCF level, institutions should monitor their liquidity for potential liquidity mismatches and cash flow shortfalls and manage liquidity in accordance with their internally defined risk appetite.

4.4 Scope of application

  1. The NCCF supervisory tool will be assessed in three parts by OSFI, on a:
    1. Consolidated basis;
    2. Canadian currency basis; and
    3. Major foreign currency basis, defined as US dollar (USD), Euro (EUR), and British pound sterling (GBP) balance sheet basis.

    During periods of idiosyncratic stress to specific regions or to individual institutions, OSFI may, as necessary, require a supervisory-communicated, institution-specific NCCF level to be met on a Canadian currency basis and/or a foreign currency balance sheet basis, including USD, EUR, GBP and any other currency determined to be necessary by OSFI.

  2. Foreign branches of institutions in Canada should be included in the aforementioned balance sheets where the branch balance sheet represents at least 5% of consolidated notional assets or where requested by OSFI.  Subsidiary balance sheets should be reported and monitored separately, if the sum total of all subsidiary balance sheets is 5% of consolidated notional assets, or as required by OSFI.

4.5 Cash inflows

  1. Cash inflow treatments differ based on whether or not the asset meets the criteria for unencumbered liquid assets outlined below.
  2. Eligible unencumbered liquid assets are treated as cash inflows in the first time bucket (i.e. week one), with accrued interest excluded.  Additional inflows of unencumbered liquid assets from maturing repurchase transactions of eligible liquid assets should be treated as cash inflows and assigned to the appropriate time bucket after application of the relevant central bank haircuts.
  3. To qualify for the stock of unencumbered liquid assets under the NCCF, the assets should be eligible collateral at central banks under normal operating conditions (e.g. Bank of Canada Standing Liquidity Facility) and should be unencumbered.  "Unencumbered" means free of legal, regulatory, contractual or other restrictions on the ability of the institution to liquidate, sell, transfer, or assign the asset. An asset in the stock should not be pledged to secure, collateralize or credit-enhance any transaction, nor be designated to cover operational costs (such as rents and salaries). The assets should also be accessible by the function charged with managing the liquidity of the institution (e.g. the treasurer) as outlined in Chapter 2, paragraph 21. Eligible foreign currency liquid assets may be permitted to be included at OSFI's discretion. For eligibility purposes, assets linked to total return swap (TRS) exposures will be given the same treatment as in LCR (see Chapter 2, paragraph 47(c)).
  4. Institutions should only include liquid assets that it has the operational capability to monetize, meaning it has procedures and appropriate systems in place, including providing the function identified in Chapter 2, paragraph 21 with access to all necessary information to execute monetisation of any asset at any time.
  5. Only U.S. liquid assets eligible at the Bank of Canada should be considered fungible (i.e. mutually interchangeable) for NCCF liquidity measurement purposes for the Canadian dollar balance sheet.  Subject to OSFI's approval, other liquid assets may be eligible for inclusion in an institution's respective foreign currency balance sheets and the consolidated balance sheet.
  6. In order to qualify as liquid assets under the NCCF, liquid assets held by subsidiaries, or domiciled outside Canada, should be freely transferable for regulatory purposes to the consolidated entity, meaning that there should not be regulatory, legal, tax, accounting or other impediments to their transfer. Assets held in legal entities without market access should only be included to the extent that they can be freely transferred to other entities that could monetize the assets.
  7. Eligible unencumbered liquid assets received in reverse repo and securities financing transactions that are held at the institution, have not been rehypothecated, and are legally and contractually available for the institution's use can be considered as part of the pool of liquid assets and thus accorded immediate liquidity value (i.e. week one) after application of the relevant central bank haircut. Institutions should not double count liquidity inflows or outflows associated with reverse repos.
  8. Institutions may receive liquidity value for collateral swaps provided they can clearly demonstrate that, at a minimum, the transactions are for a specified contract period, the securities used for the underlying collateral being swapped are outlined in the transaction details, mark-to-market procedures are understood and documented, and there is not substitution of collateral over the life of the contract, unless it is a like-for-like substitution of collateral.  In addition, institutions must have adequate and ongoing market risk management control and oversight around this activity, and must recognize liquidity or cash flow implications at the termination of the swap.
  9. For the Canadian balance sheet, liquid assets are limited only to those eligible as collateral under the Standing Liquidity Facility at the Bank of Canada (see the Assets Eligible as Collateral under the Standing Liquidity Facility document at the following link). Note that the Bank of Canada applies conditions to the use of these assets and that the asset list is subject to change. As such, institutions should use the most recent version of the aforementioned document when calculating their stock of liquid assets for NCCF purposes.
  10. For all foreign currency balance sheets, the stock of liquid assets must, at a minimum, be eligible collateral under normal operating conditions at the appropriate central bank, be unencumbered per paragraph 13, and must be approved by OSFI.  OSFI reserves the right to restrict or alter this list at any time, in consideration of stressed markets or other circumstances.
  11. Cash inflow treatment for balance sheet assets that do not meet the aforementioned criteria for eligible unencumbered liquid assets is based on the asset's residual contractual maturity.  When considering its available cash inflows, the institution should only include contractual inflows (including interest and amortization payments) from outstanding exposures that are fully performing and for which the institution has no reason to expect a default.  Contingent inflows are not to be included in cash inflows.
  12. All cash inflows from demand and term deposits held with other institutions are assumed to occur at the earliest contractual maturity date.  In the case of demand deposits, this would mean the first week.
  13. Cash inflows from government securities, mortgage-backed securities, asset-backed securities, corporate commercial paper, and corporate bonds, which are not considered eligible unencumbered liquid assets, should be reported at contractual maturity or the earliest option date (e.g. callable bonds). Cash inflows are limited to the face value of the security.
  14. Cash inflows from Acceptances (bankers' acceptances) reported as an asset (customers' liability under acceptances) on the balance sheet should occur at the latest contractual maturity date of the underlying facility.
  15. Non-financial common equity shares that meet the requirements for Level 2B asset treatment in the LCR (i.e. meet the criteria outlined in Chapter 2, paragraph 47(c) and the operational requirements outlined in Chapter 2, section 2.2.A.2) will be given cash inflow treatment in NCCF, after application of a 50% haircut, in week 4.  For eligibility purposes, assets linked to total return swap (TRS) exposures will be given the same treatment as in LCR (see Chapter 2, paragraph 47(c)).
  16. Financial institution common equity shares will be given cash inflow value according to the following schedule – 12.5% in month 2, 25% in month 3, and 12.5% in month 4, provided the operational requirements outlined in Chapter 2, section 2.2.A.2 are met.
  17. Precious metals and other commodities receive no cash inflow value because their liquidity characteristics indicate a low level of confidence that cash inflows will occur within one year.
  18. Inflows from loans that have no specific maturity (i.e. have non-defined or open maturity) should not be included.  An exception to this would be minimum payments of principal, fee or interest associated with an open maturity loan, which are contractually due within a specific period.  These minimum payment amounts are assumed to occur at the latest possible time band within that period.
  19. Cash inflows from swapped intra-bank loans should occur at contractual maturity of the loan. These transactions occur when funds are transferred from one balance sheet to another. The originating balance sheet generates a swapped intra-bank loan by swapping funds from one currency to another (e.g., an area within a FI swaps U.S. dollar deposits to Canadian dollars and lends the funds to another area within the institution).
  20. Cash inflows from reverse repurchase agreements which do not meet the conditions outlined in paragraphs 12 to 20 are assumed to occur at contractual maturity.
  21. Cash inflows from securities borrowed are assumed to occur at contractual maturity for the principal amount borrowed. Interest will not be recognized as a cash inflow.
  22. All derivative-related cash inflows should be included at the expected contractual payment dates in accordance with their existing valuation methodologies. Cash flows may be calculated on a net basis (i.e. inflows can offset outflows) by counterparty, only where a valid master netting agreement exists.  The amounts of derivatives cash inflows and outflows should be calculated in accordance with other provisions of the methodology described in paragraph 42.  In accordance with the principle that institutions should not double count liquidity inflows or outflows, where derivatives are collateralised by eligible liquid assets, cash inflows should be calculated net of any corresponding cash or contractual collateral outflows that would result, all other things being equal, from contractual obligations for cash or collateral to be posted by the institution, given these contractual obligations would reduce the pool of eligible liquid assets.
  23. Balances related to assets not mentioned above are to be reported in the NCCF, but no cash inflow value will be attributed to them.

4.6 Cash outflows

  1. The cash outflow treatment for existing liabilities differs depending on whether the liability has a contractual maturity or whether the liability has an indeterminate maturity (non-defined or open maturity).  Both on-balance sheet and certain off balance sheet items are considered as part of cash outflows under the NCCF.  Balances should be run-off on a declining balance basis.
  2. Consistent with the underlying intent of the metric, no rollover of existing liabilities is generally assumed to take place, with the exception of retail and small business customer term deposits.  Run-off rates for retail and small business customer term deposits will be the same as equivalent monthly demand deposit run-offs.  However, these term deposits will be assumed to renew at the same tenor as the original deposit, less the equivalent demand deposit monthly run-off rate.
  3. For cashable products in which the customer has an option for early redemption, the balance should be treated as a demand deposit commencing at the first customer option date and allocated to the appropriate demand deposit and run-off rate category.  If product design includes penalties that sufficiently discourage early redemption, OSFI may consider exceptions on a bilateral basis.
  4. The general treatment described in paragraph 35 (i.e. no rollover of liabilities) applies to:
    • Repurchase agreements;
    • Term deposits other than retail and small business customer term deposits, regardless of the counterparty type;
    • Other wholesale liabilities including commercial paper, certificates of deposit, deposit notes and bonds;
    • Outflows from an FI's own ABCP, SIVs, and securitizationsFootnote 2.
  5. Cash outflows from swapped intra-bank deposits should occur in full at contractual maturity. These transactions occur when funds are transferred from one balance sheet to another. The originating balance sheet generates a swapped intra-bank deposit by swapping funds from one currency to another (e.g., an area within a FI swaps U.S. dollar deposits to Canadian dollars and lends the funds to another area within the institution).
  6. Cash flows associated with securities lent are assumed to occur at contractual maturity for the principal amount borrowed. Interest will not be recognized as a cash outflow.
  7. Securities sold short and funding guarantees to subsidiaries and branches should all be assumed to have immediate cash outflows (i.e. first maturity bucket).
  8. 75% of the outstanding amount of bank-sponsored Acceptances (bankers' acceptances) reported as a liability on the balance sheet should be recorded as an outflow on a declining balance basis occurring on the earliest maturity date of each acceptance (i.e. the remaining 25% is considered to be rolled over).  All other Acceptances should roll off at 100%.
  9. All derivative-related cash outflows should be included at the expected contractual payment dates in accordance with their existing valuation methodologies. Cash flows may be calculated on a net basis (i.e. inflows can offset outflows) by counterparty, only where a valid master netting agreement exists. Options should be assumed to be exercised when they are 'in the money' to the option buyer.  In accordance with the principle that institutions should not double count liquidity inflows or outflows, where derivative payments are collateralised by eligible liquid assets, cash outflows should be calculated net of any corresponding cash or collateral inflows that would result, all other things being equal, from contractual obligations for cash or collateral to be provided to the institution, if the institution is legally entitled and operationally capable to re-use the collateral in new cash raising transactions once the collateral is received.
  10. Run-off rates (i.e. outflows) associated with liabilities with an indeterminate maturity (non-defined or open maturity), such as demand/notice deposits, are applied over two time intervals – weekly for the first month and monthly from month 2 to month 12.
  11. Retail deposits are defined as deposits placed with an institution by a natural person and are divided into "stable" and "less stable" categories per Chapter 2, paragraphs 55 to 64.  Institutions should refer to these paragraphs for definitions related to the concepts described for retail deposits below.

Stable retail deposits 

  1. Insured retail deposits that are in transactional accounts or where the depositors have an established relationship with the institution that make deposit withdrawal highly unlikely per Chapter 2, paragraph 56 are generally assigned a weekly run-off rate of 1.25% over each of the first four weeks and a monthly run-off rate of 1.0% over each of the subsequent eleven months. However, such deposits may be eligible for a weekly run-off rate of 0.75% over each of the first four weeks and a monthly run-off rate of 1.0% over each of the subsequent eleven months if the criteria outlined in Chapter 2, paragraph 59 are met.

Less stable retail deposits 

  1. Demand deposits where an unaffiliated third-party directly manages the funds are assigned a weekly run-off rate of 10% over each of the first four weeks and a monthly run-off rate of 10% over each of the subsequent eleven months.
  2. Term deposits directly managed by an unaffiliated third party that are maturing or cashables in the next four weeks are assigned a weekly run-off rate of 7.5% over each of the first four weeks and a monthly run-off rate of 15% over each of the subsequent eleven months.
  3. Rate sensitive deposits (RSD) where the client directly manages the funds and where the client does not have an established relationship with the institution and the account is not transactional are assigned a weekly run-off rate of 5% over each of the first four weeks and a monthly run-off rate of 5% over each of the subsequent eleven months.
  4. Rate sensitive deposits where the client directly manages the funds and where the client has an established relationship with the institution or the account is transactional are assigned a weekly run-off rate of 2.5% over each of the first four weeks and a monthly run-off rate of 5% over each of the subsequent eleven months.
  5. Insured retail deposits that are not in transactional accounts or where the depositors do not have other established relationships with the institution that make deposit withdrawal highly unlikely are assigned a weekly run-off rate of 2.5% over each of the first four weeks and a monthly run-off rate of 3.5% over each of the subsequent eleven months. 
  6. Uninsured retail deposits are assigned a weekly run-off rate of 2.5% over each of the first four weeks and a monthly run-off rate of 5% over each of the subsequent eleven months.

Wholesale funding

  1. Unsecured wholesale funding is defined as those liabilities and general obligations that are raised from non-natural persons (i.e. legal entities, including sole proprietorships and partnerships) and are not collateralized by legal rights to specifically designated assets owned by the borrowing institution in the case of bankruptcy, insolvency, liquidation or resolution.
  2. Unsecured wholesale funding provided by small business customers is treated the same way as retail, effectively distinguishing between a "stable" portion of funding provided by small business customers and different buckets of "less stable" funding. The same bucket definitions and associated run-off factors apply as for retail deposits.
  3. All non-small business customer unsecured term wholesale funding is assumed to run-off 100% at contractual maturity.

Operational deposits 

  1. For unsecured demand wholesale funding provided by non-small business customers, where the institution has operational deposits generated by clearing, custody and cash management activities that meet the criteria outlined in Chapter 2, paragraphs 73 to 83, these deposits are generally assigned a weekly run-off factor of 2.5% for each of the first four weeks and a monthly run-off rate of 5% over each of the subsequent eleven months, regardless of the counterparty type.
  2. Exceptions to the treatment prescribed in paragraph 55, relate to the portion of operational deposits generated by clearing, custody and cash management activities that is fully covered by deposit insurance, which can receive one of the following treatments:
    • A weekly run-off rate of 0.75% for each of the first four weeks and a monthly run-off rate of 3% over each of the subsequent eleven months if the jurisdiction where the deposit is located permits use of the 3% run-off factor under the LCR for certain insured retail deposits per Chapter 2, paragraph 59;
    • A weekly run-off rate of 1.25% for each of the first four weeks and a monthly run-off rate of 5% over each of the subsequent eleven months if the jurisdiction where the deposit is located does not permit use of the 3% run-off factor under the LCR for certain insured retail deposits.

Other non-operational deposits

  1. All demand deposits and other extensions of unsecured funding from non-financial corporate customers (that are not categorised as small business customers) and both domestic and foreign sovereign, central bank, multilateral development bank, and PSE customers that are not specifically held for operational purposes per paragraphs 55 and 56 should be assigned a weekly run-off factor of 3% for each of the first four weeks and a monthly run-off rate of 10% over each of the subsequent eleven months.
  2. An exception to the treatment prescribed for non-operational deposits in paragraph 57 relates to unsecured demand wholesale funding provided by non-financial corporate customers, sovereigns, central banks, multilateral development banks, and PSEs without operational relationships if the entire amount of the deposit is fully covered by an effective deposit insurance scheme (as defined in Chapter 2, paragraph 57) or by a public guarantee that provides equivalent protection.  In such cases, the deposits should be assigned a weekly run-off factor of 3% for each of the first four weeks and a monthly run-off rate of 5% over each of the subsequent eleven months.
  3. All demand deposits and other funding from other institutions (including banks, securities firms, insurance companies, etc.), fiduciariesFootnote 3, beneficiariesFootnote 4, conduits and special purpose vehicles, affiliated entities of the institution and other entities that are not specifically held for operational purposes (as defined above) and not included in the above categories are assumed to run-off evenly and in full over the first four weeks. 
  4. Table 1 summarizes the treatment accorded to all unsecured funding, by counterparty type.
    Table 1
    Paragraph Deposit Type Weekly run-off rate (first month) Monthly run-off rate (months 2 to 12)1
    45, 53 Insured retail and small business – stable (demand and term deposits):    
    Where criteria outlined in Chapter 2, paragraph 59 are met 0.75% 1%
    Where criteria outlined in Chapter 2, paragraph 59 are not met 1.25% 1%
    46, 53 Demand deposits– funds managed by unaffiliated third party 10% 10%
    47, 53 Term deposits (maturing in the next 4 weeks and cashable) managed by unaffiliated third party 7.5% 15%
    48, 53 RSD – client managed, no relationship, account not transactional 5% 5%
    49, 53 RSD – client managed, established relationship or account transactional 2.5% 5%
    50, 53 Insured retail and small business – not a transactional account or no relationships 2.5% 3.5%
    51, 53 Uninsured retail and small business (demand and term deposits) 2.5% 5%
    54 Unsecured wholesale term deposits – all non-small business customer counterparties 100% at maturity
    55, 56 Non-financial corporates, sovereigns, central banks, PSEs, MDBs, other FIs and other legal entities – operational deposits:    
    Where the deposit is not fully covered by deposit insurance 2.5% 5%
    Where the deposit is fully covered by deposit insurance and:    
    Jurisdiction where the deposit is located permits a 3% run-off factor 0.75% 3%
    Jurisdiction where the deposit is located does not permit a 3% run-off factor 1.25% 5%
    57, 58 Non-financial corporates, sovereigns, central banks, PSEs and MDBs – non-operational deposits:    
    Where the deposit is not covered by an effective deposit insurance scheme or public guarantee 3% 10%
    Where the deposits is covered by an effective deposit insurance scheme or public guarantee 3% 5%
    59 All other counterparties (including other FIs and other legal entities) – non-operational deposits 100% (equally runoff over 4 weeks) n/a
    1 Note that there should be no-run-off beyond 100% of the original balance of any existing liability in the NCCF, and balances should be run-off on a declining balance basis.
  5. Balances related to on-balance sheet liabilities not mentioned above are to be reported in the NCCF, but no cash outflow value is attributed to them.
  6. Credit and liquidity facilities are defined as explicit contractual agreements or obligations to extend funds at a future date to retail or wholesale counterparties. For purposes of the NCCF, these facilities only include contractually irrevocable ("committed") or conditionally revocable agreements to extend funds in the future to third parties, and will be reported in the NCCF template but will not be included as outflows.

Footnotes

Footnote 1

Cash flows related to days 29, 30 and 31 of a given month should be reported in the week 4 bucket and applied the weekly run-off rate assigned to week 4 cash flows. Cash flows related to the remaining days of week 5 should be reported in the month 2 bucket and applied the monthly run-off rate assigned to month 2 flows.

Return to footnote 1 referrer

Footnote 2

Where financing is arranged though structured investment vehicles, financial institutions should consider the inability to refinance maturing debt during liquidity crises.

Return to footnote 2 referrer

Footnote 3

Fiduciary is defined in this context as a legal entity that is authorised to manage assets on behalf of a third party. Fiduciaries include asset management entities such as pension funds and other collective investment vehicles.

Return to footnote 3 referrer

Footnote 4

Beneficiary is defined in this context as a legal entity that receives, or may become eligible to receive, benefits under a will, insurance policy, retirement plan, annuity, trust, or other contract.

Return to footnote 4 referrer